2 citations · 2 across the 2 of their papers we have counts for
2 papers
q-fin.MF2015
A generalized intensity based framework for single-name credit risk
Frank Gehmlich, Thorsten Schmidt
The intensity of a default time is obtained by assuming that the default indicator process has an absolutely continuous compensator. Here we drop the assumption of absolute continu…
q-fin.MF2014★ 2 cited
Dynamic Defaultable Term Structure Modelling beyond the Intensity Paradigm
Frank Gehmlich, Thorsten Schmidt
The two main approaches in credit risk are the structural approach pioneered in Merton (1974) and the reduced-form framework proposed in Jarrow & Turnbull (1995) and in Artzner & D…