2 papers
q-fin.MF2014
Stationarity of Bivariate Dynamic Contagion Processes
Angelos Dassios, Xin Dong
The Bivariate Dynamic Contagion Processes (BDCP) are a broad class of bivariate point processes characterized by the intensities as a general class of piecewise deterministic Marko…
q-fin.MF2014
Intensity Process for a Pure Jump Lévy Structural Model with Incomplete Information
Xin Dong, Harry Zheng
In this paper we discuss a credit risk model with a pure jump Lévy process for the asset value and an unobservable random barrier. The default time is the first time when the asset…