This paper introduces a new model for portfolio credit risk incorporating default and spread widening in one consistent framework. Credit spreads are modelled by geometric Brownian motions with a dependence structure powered by a t-copula. Their joint evolution drives the spreads widening and...

This paper documents vanilla interest-rate options (caps, floors and swaptions) newly introduced in China. The underlying rates are the RMB loan prime rates (LPRs), the foremost interest rates that matter to almost all businesses and households in China. They are digital with a tick size of five...

This paper introduces a highly analytically tractable parametric model for modelling interest-rate tick movements and arbitrage-free pricing interest-rate options. We apply it to loan prime rates (LPR), the foremost benchmark interest rates that matter to almost all businesses and households in...