大阪大学　数理・データ科学教育研究センター
Center for Mathematical Modeling and Data Science,Osaka University

Post-Last Exit Time Process and its Application to Loss-Given-Default Distribution

KEVKHISHVILI, Rusudan (Kyoto University)

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大阪大学 数理・データ科学セミナー 金融・保険セミナーシリーズ 第145回

Post-Last Exit Time Process and its Application to Loss-Given-Default Distribution

KEVKHISHVILI, Rusudan (Kyoto University)

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).