The Results Of The Credit Risk Model With Jump-diffusion

With the financial globalization trend and the intensifying undulation of the financial markets, commercial banks all over the world and investors have all been faced the unprecedented challenge by credit risk. The World Bank studied the crises of the global banking, which showed that the main cause of the bank bankruptcy is credit risk. Therefore, the credit risk and its derivatives have become interest economic social issues. It is necessary for us to consider the model and the method of the credit risk.This paper studies some characterizes of the credit risk model with jump-diffusion. We discuss the default probability and the surplus distribution at default. Applying the first passage time approach, we present the integro-differential equation of the default probability and the surplus distribution at default by the It?’s formula. Finally, an example is given when the distribution of the jump size is known.