BFS 2002

Contributed Talk




The Defaultable LÚvy Term Structure: Ratings and Restructuring

Ernst Eberlein, Fehmi Ízkan


We introduce the intensity-based defaultable LÚvy term structure model. It generalizes the default-free LÚvy term structure model by Eberlein and Raible, and the intensity-based defaultable Heath-Jarrow-Morton approach of Bielecki and Rutkowski. Furthermore, we include the concept of multiple defaults, based on Sch÷nbucher, within this generalization.       http://www.stochastik.uni-freiburg.de/homepages/eberlein/