Snapshots of Utility Indifference Valuation for Defaultable Claims under a Structural Model with Hawkes Jump-Diffusion Processes

Quickly apply original, key PMR-published papers with Snapshots—a short article companion that distills PMR research into compressed, digestible takeaways, so you can put the paper’s core ideas to work in your investment process—fast. This Snapshot article is based on research proposing a structural utility indifference framework that prices defaultable bonds and credit default swaps (CDSs) by allowing credit shocks to increase the likelihood of further shocks, thereby incorporating clustered, unhedgeable credit risk and investor risk aversion.