A Simple Model for Credit Migration and Spread Curves

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.

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Year of publication:	2003-05-14
Authors:	Chen, Li ; Filipovic, Damir
Institutions:	EconWPA
Subject:	Credit Risk Modeling \| Credit Migration \| Structural Models \| Intensity Based Models \| Affine Processes

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Extent:	application/pdf
Series:	Finance.
Type of publication:	Book / Working Paper
Notes:	Type of Document - pdf; prepared on IBM PC - PC-TEX/UNIX Sparc TeX; to print on HP/PostScript/Franciscan monk; pages: 21 ; figures: included. We never published this piece and now we would like to reduce our mailing and xerox cost by posting it. 21 pages
Classification:	G13 - Contingent Pricing; Futures Pricing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005561740