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Recent empirical evidences indicate that default rates are influenced not only by the observable or latent risk factors, but also depend on the history of past defaults. Motivated by this empirical finding, we consider in this paper a reduced-form, intensity-based credit risk model, which allows for both frailty and default contagion, using a so-called “self-exciting” intensity, in the sense that...
We investigate the optimal capital structure of a corporate when the dynamics of the assets (both growth rate and volatility) change following different states of the economy. Two structural models are examined in the paper. The first considers the case when the firm is not facing tax benefit and bankruptcy costs with a regime switching dynamics. This model extends the Black and Cox (J Financ...
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