论文标题
较长的退出时间过程及其在损失默认分配中的应用
Post-Last Exit Time Process and its Application to Loss-Given-Default Distribution
论文作者
论文摘要
我们在最后一次离开某个常规点的最后退出后研究线性扩散过程。我们没有将该过程视为在最后一个退出时间新出生的过程，而是查看整个路径，并在最后一个退出时间之前和之后将原始过程分开。这使我们不仅能够确定过渡半群，边界行为，入口法和较长后退出时间过程的反面，而且还可以建立一个财务模型来估计公司债务的损失违约分配（这是历史上重要的开放问题）。
We study a linear diffusion process after its last exit time from a certain regular point. Rather than treating the process as newly born at the last exit time, we view the whole path and separate the original process before and after the last exit time. This enables us not only to identify the transition semigroup, boundary behavior, entrance law, and reverse of the post-last exit time process, but also to establish a financial model for estimating the loss-given-default distribution of corporate debt (an all-time important open problem).
