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摘要翻译：
本文建立了一个结构性信用风险模型来描述企业的经济违约时间和记录违约时间之间的差异。在法律系统中记录默认时发生已记录的默认。经济违约时间是企业在法定违约时间之前能够清偿债务的最后时间。经验证明，这两次是不同的（参见Guo，Jarrow和Lin(2008))。在我们的模型中，经济违约和记录违约之间的时间跨度的概率分布遵循混合反正弦定律，这与Guo，Jarrow和Lin的结果是一致的。此外，当债务偿还日之间的时间周期为零时，经典结构模型是我们的模型的一个极限情况。作为推论，我们说明了如何利用尾部指数和企业收益的相关结构来估计企业价值过程的参数。
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英文标题：
《The economic default time and the Arcsine law》
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作者：
Xin Guo, Robert A Jarrow, Adrien de Larrard
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最新提交年份：
2011
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分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：Risk Management 风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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一级分类：Mathematics 数学
二级分类：Probability 概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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英文摘要：
This paper develops a structural credit risk model to characterize the difference between the economic and recorded default times for a firm. Recorded default occurs when default is recorded in the legal system. The economic default time is the last time when the firm is able to pay off its debt prior to the legal default time. It has been empirically documented that these two times are distinct (see Guo, Jarrow, and Lin (2008)). In our model, the probability distribution for the time span between economic and recorded defaults follows a mixture of Arcsine Laws, which is consistent with the results contained in Guo, Jarrow, and Lin. In addition, we show that the classical structural model is a limiting case of our model as the time period between debt repayment dates goes to zero. As a corollary, we show how the firm value process's parameters can be estimated using the tail index and correlation structure of the firm's return.
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PDF链接：
https://arxiv.org/pdf/1012.0843
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