Search Results - subject:"Default Intensity"

Valuing risky debt: A new model combining structural information with the reduced-form approach

Ballestra, Luca Vincenzo; Pacelli, Graziella - In: Insurance: Mathematics and Economics 55 (2014) C, pp. 261-271

A new model of credit risk is proposed in which the intensity of default is described by an additional stochastic differential equation coupled with the process of the obligor’s asset value. Such an approach allows us to incorporate structural information as well as to capture the effect of...

Persistent link: https://www.econbiz.de/10010753214

Valuing risky debt : a new model combining structural information with the reduced-form approach

Ballestra, Luca Vincenzo; Pacelli, Graziella - In: Insurance / Mathematics & economics 55 (2014), pp. 261-271

Persistent link: https://www.econbiz.de/10010366168

Pricing default events : surprise, exogeneity and contagion

Gouriéroux, Christian; Monfort, Alain; Renne, Jean-Paul - In: Journal of econometrics 182 (2014) 2, pp. 397-411

Persistent link: https://www.econbiz.de/10010497742

Does modeling framework matter? : a comparative study of structural and reduced-form models

Gündüz, Yalın; Uhrig-Homburg, Marliese - In: Review of derivatives research 17 (2014) 1, pp. 39-78

Persistent link: https://www.econbiz.de/10010519295

Macro factors in the term structure of credit spreads

Luisi, Maurizio; Amato, Jeffery D. - Bank for International Settlements (BIS) - 2006

We estimate arbitrage-free term structure models of US Treasury yields and spreads on BBB and Brated corporate bonds in a doubly-stochastic intensity-based framework. A novel feature of our analysis is the inclusion of macroeconomic variables – indicators of real activity, inflation and...

Persistent link: https://www.econbiz.de/10005063368

Pricing Default Events : Surprise, Exogeneity and Contagion

Gouriéroux, Christian; Monfort, Alain; Renne, Jean-Paul - Centre de Recherche en Économie et Statistique … - 2013

In order to derive closed-form expressions of the prices of credit derivatives, the standard models for credit risk usually price the default intensities but not the default events themselves. The default indicator is replaced by an appropriate prediction and the prediction error, that is the...

Persistent link: https://www.econbiz.de/10010857720

BILATERAL COUNTERPARTY RISK VALUATION OF CDS CONTRACTS WITH SIMULTANEOUS DEFAULTS

TENG, LONG; EHRHARDT, MATTHIAS; GÜNTHER, MICHAEL - In: International Journal of Theoretical and Applied … 16 (2013) 07, pp. 1350040-1

We analyze the general risk-neutral valuation for counterparty risk embedded in a Credit Default Swap (CDS) contract by adapting the recent findings of Brigo and Capponi (2009) to allow for simultaneous defaults among the two parties and the underlying reference credit, while the counterparty...

Persistent link: https://www.econbiz.de/10011011300

Bilateral counterparty risk valuation of CDS contracts with simultaneous defaults

Teng, Long; Ehrhardt, Matthias; Günther, Michael - In: International journal of theoretical and applied finance 16 (2013) 7, pp. 1-20

Persistent link: https://www.econbiz.de/10010233305

Understanding Default Risk Through Nonparametric Intensity Estimation

Couderc, Fabien - Swiss Finance Institute - 2005

This paper investigates instantaneous probabilities of default implied by rating and default events. We propose and apply an alternative measurement approach to standard cohort and homogenous hazard estimators. Our estimator is a smooth nonparametric estimator of intensities, free of bias and...

Persistent link: https://www.econbiz.de/10005612044

Robust analysis of default intensity

Bellini, Tiziano; Riani, Marco - In: Computational Statistics & Data Analysis 56 (2012) 11, pp. 3276-3285

The problem of robust estimation and multivariate outlier detection of the term structure of default intensity is … used to estimate default intensity. The focus is not on the estimation of credit models including jumps, but on the … estimated parameters are introduced. The output is not only a unique default intensity term structure curve, as often used in …

Persistent link: https://www.econbiz.de/10010617645