摘要翻译：
企业违约可能是由一些重大市场新闻或事件引发的，如金融危机或主要银行或金融机构的倒闭。为了建立一个更真实的信用风险分析模型，我们引入了一种新的基于强度的简化模型，该模型可以同时考虑可观察到的“触发”事件和经济环境对企业违约的影响。该模型的关键思想是用触发器事件来增强Cox过程。本文考虑了单缺省和多缺省两种情况。在前一种情况下，得到了缺省时间分布的简单表达式。本文给出了该模型在违约债券和多名称信用违约互换定价中的应用。
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英文标题：
《On Reduced Form Intensity-based Model with Trigger Events》
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作者：
Jia-Wen Gu, Wai-Ki Ching, Tak-Kuen Siu and Harry Zheng
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最新提交年份：
2013
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Computational Finance        计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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一级分类：Quantitative Finance        数量金融学
二级分类：Risk Management        风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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英文摘要：
  Corporate defaults may be triggered by some major market news or events such as financial crises or collapses of major banks or financial institutions. With a view to develop a more realistic model for credit risk analysis, we introduce a new type of reduced-form intensity-based model that can incorporate the impacts of both observable "trigger" events and economic environment on corporate defaults. The key idea of the model is to augment a Cox process with trigger events. Both single-default and multiple-default cases are considered in this paper. In the former case, a simple expression for the distribution of the default time is obtained. Applications of the proposed model to price defaultable bonds and multi-name Credit Default Swaps (CDSs) are provided.
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PDF链接：
https://arxiv.org/pdf/1301.0109