Add to ORKGWe consider a rating-based model for the term structure of credit risk spreads wherein the credit-worthiness of the issuer is represented as a finite-state continuous time Markov process. This ap-proach entails a progressive drift in credit quality towards default. A model of the economy is presented featuring stochastic transition probabilities; credit instruments are valued via an ultra parabolic Hamilton-Jacobi system of equations discretized utilizing the method-of-lines finite dif-ference method. Computations for a callable bond are presented demonstrating the efficiency of the method
This paper provides a Markov chain model for the term structure and credit risk spreads of bond proc...
In this paper we apply Cheyette's Markov representation of the Heath-Jarrow-Morton framework to the ...
Recently, the financial world witnessed a series of major defaults by several institutions and inves...
This thesis is concerned with some issues arising in relation to the capital structure and pricing o...
The payoff of many credit derivatives is subject to spread risk, i.e., it depends on the evolution o...
The techniques presented in this paper are applicable to the valuation of general corporate liabilit...
University of Technology, Sydney. Faculty of Business.Empirical evidence strongly suggests that inte...
Abstract. In this paper we use a discrete time non-homogeneous semi-Markov model for the rating evol...
A problem with the classical firm value model of Merton (1974) arises from modeling the firm value i...
Many empirical studies on credit spread determinants consider a single-regime model over the entire ...
This paper provides a Markov chain model for the term structure and credit risk spreads of bond pric...
In this paper, we use a discrete time non-homogeneous semi-Markov model for the rating evolution of ...
It is well known that credit rating transitions exhibit a serial correlation also known as a rating ...
A new approach to modelling of credit risk, to valuation of defaultable debt, and to pricing of cred...
MasterWe study the evaluation of credit risk that is associated with the fluctuation in the firm val...
This paper provides a Markov chain model for the term structure and credit risk spreads of bond proc...
In this paper we apply Cheyette's Markov representation of the Heath-Jarrow-Morton framework to the ...
Recently, the financial world witnessed a series of major defaults by several institutions and inves...
This thesis is concerned with some issues arising in relation to the capital structure and pricing o...
The payoff of many credit derivatives is subject to spread risk, i.e., it depends on the evolution o...
The techniques presented in this paper are applicable to the valuation of general corporate liabilit...
University of Technology, Sydney. Faculty of Business.Empirical evidence strongly suggests that inte...
Abstract. In this paper we use a discrete time non-homogeneous semi-Markov model for the rating evol...
A problem with the classical firm value model of Merton (1974) arises from modeling the firm value i...
Many empirical studies on credit spread determinants consider a single-regime model over the entire ...
This paper provides a Markov chain model for the term structure and credit risk spreads of bond pric...
In this paper, we use a discrete time non-homogeneous semi-Markov model for the rating evolution of ...
It is well known that credit rating transitions exhibit a serial correlation also known as a rating ...
A new approach to modelling of credit risk, to valuation of defaultable debt, and to pricing of cred...
MasterWe study the evaluation of credit risk that is associated with the fluctuation in the firm val...
This paper provides a Markov chain model for the term structure and credit risk spreads of bond proc...
In this paper we apply Cheyette's Markov representation of the Heath-Jarrow-Morton framework to the ...
Recently, the financial world witnessed a series of major defaults by several institutions and inves...