We extend the credit risk valuation framework introduced by Gatfaoui (2003) to stochastic volatility models. We state a general setting for valuing risky debt in the light of systematic risk and idiosyncratic risk, which are known to affect each risky asset in the financial market. The option...

Reliability has been largely applied to industrial systems in order to study the various possibilities of systems’ failure. The goal is to establish the chain of events leading to any system’s failure, namely the top event. Looking for the minimal paths leading to any system’s fault allows...

Since 80’, fault tree theory has known a great development in industrial systems’ sector. Its first goal is to estimate and model the probability and events combination which could lead a given system to failure. Later static and dynamic studies arise such as Dugan, Venkataraman & Gulati...

La marge de taux obligataire ou encore le spread de crédit est réputé(e) pour son rôle de mesure du risque de crédit. Dans ce contexte, l’attention est portée à deux de ses principales composantes : le risque de défaut et le risque de liquidité. L’évolution du risque de défaut...

Recent literature focuses on the systematic and specific components of credit risk (Dichev [1998], Wilson [1998], Jarrow, Lando & Yu [2001]). It is currently assumed, at least implicitly, that financial data are all subject to one latent systematic factor (Jarrow, Lando & Yu [2001], Lucas,...