Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Intensity Process for a Pure Jump L\'evy Structural Model with
  Incomplete Information   In this paper we discuss a credit risk model with a pure jump L\'evy process
for the asset value and an unobservable random barrier. The default time is the
first time when the asset value falls below the barrier. Using the
indistinguishability of the intensity process and the likelihood process, we
prove the existence of the intensity process of the default time and find its
explicit representation in terms of the distance between the asset value and
its running minimal value. We apply the result to find the instantaneous credit
spread process and illustrate it with a numerical example.

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The categories of this paper are: math-ph
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The categories of this paper are: hep-th
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The categories of this paper are: q-alg
9
The categories of this paper are: nlin
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The categories of this paper are: chao-dyn
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The categories of this paper are: mtrl-th
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The categories of this paper are: solv-int
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The categories of this paper are: econ
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The categories of this paper are: q-bio
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The categories of this paper are: hep-ex
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The categories of this paper are: gr-qc
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The categories of this paper are: math
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The categories of this paper are: quant-ph
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The categories of this paper are: cond-mat
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The categories of this paper are: nucl-ex
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The categories of this paper are: bayes-an