22 citations · 22 across the 2 of their papers we have counts for
2 papers
q-fin.RM2011
The economic default time and the Arcsine law
Xin Guo, Robert A Jarrow, Adrien de Larrard
This paper develops a structural credit risk model to characterize the difference between the economic and recorded default times for a firm. Recorded default occurs when default i…
math.PR2008★ 22 cited
Intensity process and compensator: A new filtration expansion approach and the Jeulin--Yor theorem
Xin Guo, Yan Zeng
Let be a continuous-time, time-homogeneous strong Markov process with possible jumps and let be its first hitting time of a Borel subset of the state space. Sup…