Credit Risk Analysis Under Jump-Diffusion Credit Risk Model

In this paper,we consider the credit risk under a jump-diffusion credit risk model. Different from the common used model,in this paper we consider the one with two general cases:one is the case where the parameters are time-dependent,the other is the model whose parameters rely on the firm's asset value.In the first case,we get the local default rate and the limit of credit spreads of zero-coupon bonds at time zero.In the second case,using the strong Markov property,we obtain the integro-differential equation for the Laplace transform of default time.When the jump-size distribution is Gamma(2,α) distribution,we get the closed form expression for the Laplace transform of default time.Using this expression,we further get the numerical solutions for the default probability and the corresponding price of zero-coupon bonds.