摘要翻译：
基于结构信用模型和简化信用模型之间的相互作用，我们提出将企业价值过程建模为一个包含跳跃和随机波动效应的时变布朗运动，并研究这类过程的首次通过问题。我们考虑改进随机过程的标准首次通过问题，以利用这种时间变化结构，并发现这种“第二类首次通过时间”的分布函数在广泛的有用例子中是有效的。因此，这种新的第一段概念可以用来定义广义结构性信用模型中的违约时间。给出了违约债券和信用违约互换的计算公式，该公式既可有效地计算，又可得出真实的利差曲线。最后，我们证明了将联合企业价值过程看作独立布朗运动的相依时间变化，可以得到具有丰富而可信的动态特性的多企业信用模型，并具有对证券组合信用衍生品进行有效估值的可能性。
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英文标题：
《Credit risk modeling using time-changed Brownian motion》
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作者：
T. R. Hurd
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最新提交年份：
2009
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Pricing of Securities        证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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英文摘要：
  Motivated by the interplay between structural and reduced form credit models, we propose to model the firm value process as a time-changed Brownian motion that may include jumps and stochastic volatility effects, and to study the first passage problem for such processes. We are lead to consider modifying the standard first passage problem for stochastic processes to capitalize on this time change structure and find that the distribution functions of such "first passage times of the second kind" are efficiently computable in a wide range of useful examples. Thus this new notion of first passage can be used to define the time of default in generalized structural credit models. Formulas for defaultable bonds and credit default swaps are given that are both efficiently computable and lead to realistic spread curves. Finally, we show that by treating joint firm value processes as dependent time changes of independent Brownian motions, one can obtain multifirm credit models with rich and plausible dynamics and enjoying the possibility of efficient valuation of portfolio credit derivatives.
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PDF链接：
https://arxiv.org/pdf/0904.2376