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A simple model for credit migration and spread curves
- Source :
- Finance and Stochastics. 9:211-231
- Publication Year :
- 2005
- Publisher :
- Springer Science and Business Media LLC, 2005.
-
Abstract
- We propose and examine a simple model for credit migration and spread curves of a single firm both under the real-world and the risk-neutral measure. This model is a hybrid of a structural and a reduced-form model. Default is triggered either by successive downgradings of the firm or an unpredictable jump of the state process. The default time is accordingly decomposed into predictable and totally inaccessible part.
- Subjects :
- Statistics and Probability
credit risk model
Financial economics
Mathematical finance
Process (computing)
equivalent change of measure
jel:G13
affine process
Credit Risk Modeling, Credit Migration, Structural Models, Intensity Based Models, Affine Processes
Simple (abstract algebra)
Jump
Econometrics
Economics
Statistics, Probability and Uncertainty
Finance
Subjects
Details
- ISSN :
- 14321122 and 09492984
- Volume :
- 9
- Database :
- OpenAIRE
- Journal :
- Finance and Stochastics
- Accession number :
- edsair.doi.dedup.....b1250947455e5cf2c7367bb4784dc803
- Full Text :
- https://doi.org/10.1007/s00780-004-0140-9