# American Institute of Mathematical Sciences

April  2012, 8(2): 391-410. doi: 10.3934/jimo.2012.8.391

## The dependence of assets and default threshold with thinning-dependence structure

 1 Department of Mathematics and Center for Financial Engineering, Soochow University, Suzhou 215006, China, China

Received  October 2010 Revised  October 2011 Published  April 2012

In this paper, we model the value of a firm and a default threshold using two dependent jump-diffusion processes. We give the explicit solutions for the Laplace transform of the first passage time and the expected discounted ratio of the firm value to the default threshold at default, and show the impact of dependent jumps of the firm value and the default threshold on the default probabilities and the spreads of corporate defaultable bonds.
Citation: Yinghui Dong, Guojing Wang. The dependence of assets and default threshold with thinning-dependence structure. Journal of Industrial & Management Optimization, 2012, 8 (2) : 391-410. doi: 10.3934/jimo.2012.8.391
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