Search Results - subject:"Reduced form Models"

Jarrow, Robert A. - In: Annual Review of Financial Economics 1 (2009) 1, pp. 37-68

This paper reviews the literature on credit risk models. Topics included are structural and reduced form models …, incomplete information, credit derivatives, and default contagion. It is argued that reduced form models and not structural …

Persistent link: https://www.econbiz.de/10008776995

Modeling the Dynamics of Credit Spreads with Stochastic Volatility

Jacobs, Kris; Li, Xiaofei - In: Management Science 54 (2008) 6, pp. 1176-1188

This paper investigates a two-factor affine model for the credit spreads on corporate bonds. The first factor can be interpreted as the level of the spread and the second factor is the volatility of the spread. The riskless interest rate is modeled using a standard two-factor affine model, thus...

Persistent link: https://www.econbiz.de/10009214557

Information reduction via level crossings in a credit risk model

Jarrow, Robert; Protter, Philip; Sezer, A. - In: Finance and Stochastics 11 (2007) 2, pp. 195-212

Persistent link: https://www.econbiz.de/10005613441

The valuation of a firm’s investment opportunities: a reduced form credit risk perspective

Jarrow, R.; Purnanandam, A. - In: Review of Derivatives Research 10 (2007) 1, pp. 39-58

Persistent link: https://www.econbiz.de/10005709841

Credit default swap prices as risk indicators of listed German banks

Düllmann, Klaus; Sosinska, Agnieszka - In: Financial Markets and Portfolio Management 21 (2007) 3, pp. 269-292

Persistent link: https://www.econbiz.de/10005722928

Insider trading in an equilibrium model with default: a passage from reduced-form to structural modelling

Campi, Luciano; Çetin, Umut - In: Finance and Stochastics 11 (2007) 4, pp. 591-602

Persistent link: https://www.econbiz.de/10005184368