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Modelling bonds and credit default swaps using a structural model with contagion

[Zeitschriftenartikel]

Haworth, Helen; Reisinger, Christoph; Shaw, William

Zitationshinweis

Bitte beziehen Sie sich beim Zitieren dieses Dokumentes immer auf folgenden Persistent Identifier (PID):http://nbn-resolving.de/urn:nbn:de:0168-ssoar-222258

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Abstract This paper develops a two-dimensional structural framework for valuing credit default swaps and corporate bonds in the presence of default contagion. Modelling the values of related firms as correlated geometric Brownian motions with exponential default barriers, analytical formulae are obtained for both credit default swap spreads and corporate bond yields. The credit dependence structure is influenced by both a longer-term correlation structure as well as by the possibility of default contagion. In this way, the model is able to generate a diverse range of shapes for the term structure of credit spreads using realistic values for input parameters.
Klassifikation Finanzwirtschaft, Rechnungswesen; Wirtschaftsstatistik, Ökonometrie, Wirtschaftsinformatik
Freie Schlagwörter Contagion; Correlation Modelling; Credit Models; Credit Default Swaps; Credit Risk; Defaultable Securities
Sprache Dokument Englisch
Publikationsjahr 2008
Seitenangabe S. 669-680
Zeitschriftentitel Quantitative Finance, 8 (2008) 7
DOI http://dx.doi.org/10.1080/14697680701834614
Status Postprint; begutachtet (peer reviewed)
Lizenz PEER Licence Agreement (applicable only to documents from PEER project)
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