Lutz Schloegl

affiliation not provided to SSRN

SCHOLARLY PAPERS

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Scholarly Papers (2)

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1.

Credit Gap Risk in a First Passage Time Model with Jumps

Centre for Practical Quantitative Finance Working Paper No. 22
Number of pages: 39 Posted: 19 Nov 2009
Natalie Packham, Lutz Schloegl and Wolfgang M. Schmidt
Berlin School of Economics and Law, affiliation not provided to SSRN and Frankfurt School of Finance & Management
Downloads 226 (231,494)
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gap risk, credit spreads, credit dynamics, first passage time models, stochastic volatility, general Ornstein-Uhlenbeck processes

2.

Credit Dynamics in a First Passage Time Model with Jumps

CPQF Working Paper Series No. 21
Number of pages: 21 Posted: 23 Sep 2009 Last Revised: 13 Aug 2010
Natalie Packham, Lutz Schloegl and Wolfgang M. Schmidt
Berlin School of Economics and Law, affiliation not provided to SSRN and Frankfurt School of Finance & Management
Downloads 138 (355,141)
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gap risk, credit spreads, credit dynamics, first passage time models, Levy processes, general Ornstein-Uhlenbeck process