Hainaut, Donatien; Courtois, Olivier Le - In: Quantitative Finance 14 (2012) 8, pp. 1453-1465
We develop a switching regime version of the intensity model for credit risk pricing. The default event is specified by a Poisson process whose intensity is modeled by a switching Lévy process. This model presents several interesting features. First, as Lévy processes encompass numerous jump...