CUTTING EDGE: Credit derivatives - Structural credit calibration - The authors introduce first-passage models with time-varying volatility and random default barriers, while illustrating their tractability, exact calibration and economic interpretation. The models' behaviour on Parmalat data prior to default is analysed. These models may compete with traditionally easier-to-calibrate reduced-form ...
| Year of publication: |
2006
|
|---|---|
| Authors: | Brigo, Damiano ; Morini, Massimo |
| Published in: |
Risk : managing risk in the world's financial markets. - London : Incisive Financial Publ, ISSN 0952-8776, ZDB-ID 10494753. - Vol. 19.2006, 4, p. 78-83
|