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This study formulated a model for the evolution of a firm's value, obtained the probability of a firm's default under the formulated model. More precisely, based on the structural approach to credit risk modeling, the dynamics of the value of the firm is assumed to be a combination of a diffusion process and a jump process driven by an exponential power distribution. Within the framework of structural models of credit risk, the Nikkie 225 asset value was modelled by a jump-diffusion process. A compound Poisson process driven by an exponential power distribution was used as the jump component...