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Pricing Defaultable Bonds : A New Model Combining Structural Information with the Reduced-Form Approach

Ballestra, Luca Vincenzo - 2009

We propose a new model to price defaultable bonds which incorporates features of both structural and reduced-form models of credit risk. The main novelty of the model is that the default intensity is described by an additional stochastic differential equation coupled with the process of the...

Persistent link: https://www.econbiz.de/10013155358

On a variational formulation used in credit risk modeling

Pacelli, Graziella; Ballestra, Luca Vincenzo - In: Finance research letters 7 (2010) 2, pp. 110-118

Persistent link: https://www.econbiz.de/10009272766

A numerical method to price defaultable bonds based on the Madan and Unal credit risk model

Ballestra, Luca Vincenzo; Pacelli, Graziella - In: Applied mathematical finance 16 (2009) 1/2, pp. 17-36

Persistent link: https://www.econbiz.de/10003847142

Modeling CDS spreads : a comparison of some hybrid approaches

Ballestra, Luca Vincenzo; Pacelli, Graziella; Radi, Davide - In: Journal of empirical finance 57 (2020), pp. 107-124

Persistent link: https://www.econbiz.de/10012430444

Pricing credit default swaps under multifactor reduced-form models : a differential quadrature approach

Andreoli, Alessandro; Ballestra, Luca Vincenzo; … - In: Computational economics 51 (2018) 3, pp. 379-406

Persistent link: https://www.econbiz.de/10011963685