TRANSFORM ANALYSIS FOR POINT PROCESSES AND APPLICATIONS IN CREDIT RISK
推导了一个向量点过程的变换公式，该变换可用补偿子的拉普拉斯变换表示，适用于单名和组合信用风险的估值与风险管理。
This paper develops a formula for a transform of a vector point process with totally inaccessible arrivals. The transform is expressed in terms of a Laplace transform under an equivalent probability measure of the point process compensator. The Laplace transform of the compensator can be calculated explicitly for a wide range of model specifications, because it is analogous to the value of a simple security. The transform formula extends the computational tractability offered by extant security pricing models to a point process and its applications, which include valuation and risk management problems arising in single‐name and portfolio credit risk.