Modelling bonds and credit default swaps using a structural model with contagion
| Autor: | Helen Haworth, Christoph Reisinger, William T. Shaw |
|---|---|
| Rok vydání: | 2016 |
| Předmět: |
Credit default swap
Financial economics Economics Mathematical finance Finanzwirtschaft Rechnungswesen Contagion Correlation Modelling Credit Models Credit Default Swaps Credit Risk Defaultable Securities Wirtschaft Credit default swap index Corporate bond Financial Planning Accountancy iTraxx Wirtschaftsstatistik Ökonometrie Wirtschaftsinformatik Econometrics ddc:330 Credit derivative Credit valuation adjustment General Economics Econometrics and Finance Finance Economic Statistics Econometrics Business Informatics Credit risk |
| Zdroj: | Quantitative Finance |
| Popis: | This paper develops a two-dimensional structural framework for valuing credit default swaps and corporate bonds in the presence of default contagion. Modelling the values of related firms as correlated geometric Brownian motions with exponential default barriers, analytical formulae are obtained for both credit default swap spreads and corporate bond yields. The credit dependence structure is influenced by both a longer-term correlation structure as well as by the possibility of default contagion. In this way, the model is able to generate a diverse range of shapes for the term structure of credit spreads using realistic values for input parameters. © 2008 Taylor and Francis. |
| Databáze: | OpenAIRE |
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