Search Results - subject:"Stochastic intensity model"

A simple microstructure model based on the Cox-BESQ process with application to optimal execution policy

Fonseca, José da; Malevergne, Yannick - In: Journal of economic dynamics & control 128 (2021), pp. 1-34

Persistent link: https://www.econbiz.de/10012628258

Spread Risk Premia in Corporate Credit Default Swap Markets

Entrop, Oliver; Schiemert, Richard; Wilkens, Marco - In: Credit and Capital Markets – Kredit und Kapital 47 (2014) 4, pp. 571-610

The spread risk premium component of credit default swap (CDS) spreads represents a compensation demanded by protection sellers for future changes in CDS spreads caused by unpredictable fluctuations in the reference entity"s risk-neutral default intensity. This paper defines and estimates a...

Persistent link: https://www.econbiz.de/10014522247

A generalized contagion process with an application to credit risk

Dassios, Angelos; Zhao, Hongbiao - In: International journal of theoretical and applied finance 20 (2017) 1, pp. 1-33

Persistent link: https://www.econbiz.de/10011686792

Efficient simulation of clustering jumps with CIR intensity

Dassios, Angelos; Zhao, Hongbiao - In: Operations research 65 (2017) 6, pp. 1494-1515

Persistent link: https://www.econbiz.de/10011777769

Spread Risk Premia in Corporate Credit Default Swap Markets

Entrop, Oliver; Schiemert, Richard; Wilkens, Marco - In: Credit and Capital Markets 47 (2014) 4, pp. 571-610

The spread risk premium component of credit default swap (CDS) spreads represents a compensation demanded by protection sellers for future changes in CDS spreads caused by unpredictable fluctuations in the reference entity’s risk-neutral default intensity. This paper defines and estimates a...

Persistent link: https://www.econbiz.de/10011096054

Spread risk premia in corporate credit default swap markets

Entrop, Oliver; Schiemert, Richard; Wilkens, Marco - In: Credit and capital markets : Kredit und Kapital 47 (2014) 4, pp. 571-610

Persistent link: https://www.econbiz.de/10010477424

THE STOCHASTIC INTENSITY SSRD MODEL IMPLIED VOLATILITY PATTERNS FOR CREDIT DEFAULT SWAP OPTIONS AND THE IMPACT OF CORRELATION

BRIGO, DAMIANO; COUSOT, LAURENT - In: International Journal of Theoretical and Applied … 09 (2006) 03, pp. 315-339

In this paper we investigate implied volatility patterns in the Shifted Square Root Diffusion (SSRD) model as functions of the model parameters. We begin by recalling the Credit Default Swap (CDS) options market model that is consistent with a market Black-like formula, thus introducing a notion...

Persistent link: https://www.econbiz.de/10004971738