Locally Minimizing the Credit Risk

The aim of this paper is the valuation and hedging of defaultable bonds and options on defaultable bonds. The Heath/Jarrow/Morton-framework is used to model the interest rate risk, and the time of default is determined by the first jump time of a point process. (...)

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Year of publication:	1998-05-01
Authors:	Lotz, Christopher
Publisher:	Sonderforschungsbereich Information und die Koordination Wirtschaftlicher Aktivitäten <Bonn>
Subject:	Statistik \| Ausfallrisiko \| Wirtschaftsstatistik \| Economic statistics \| Kreditrisiko

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1. Introduction
2. The Bond Market
3. Valuation of a defaultable bond
4. Valuation and hedging of options on defaultable bonds
5. Conclusion
6. Appendix

Persistent link: https://www.econbiz.de/10005841328