A Markov Model for the Term Structure of Credit Risk Spreads
2008; World Scientific; Linguagem: Inglês
10.1142/9789812819222_0018
AutoresRobert A. Jarrow, David Lando, Stuart M. Turnbull,
Tópico(s)Banking stability, regulation, efficiency
ResumoFinancial Derivatives Pricing, pp. 411-453 (2008) No AccessA Markov Model for the Term Structure of Credit Risk SpreadsRobert A. Jarrow, David Lando and Stuart M. TurnbullRobert A. JarrowCornell University, USA, David LandoUniversity of Copenhagen, Denmark and Stuart M. TurnbullQueen's University, UKhttps://doi.org/10.1142/9789812819222_0018Cited by:5 PreviousNext AboutSectionsPDF/EPUB ToolsAdd to favoritesDownload CitationsTrack CitationsRecommend to Library ShareShare onFacebookTwitterLinked InRedditEmail Abstract: The following sections are included: The Jarrow–Turnbull Model Credit Ratings and Default-Probabilities: The Discrete Time Case Valuation Options and hedging Fitting the credit class zero-curves Discussion Credit Ratings and Default Probabilities: The Continuous Time Case Valuation Options and hedging Examples Parameter estimation Estimation of default-free parameters Estimation of the bankruptcy process parameters Estimating the recovery rate Estimating the generator matrix Λ Estimation of the empirical generator matrix Λ Estimation of the risk premium Survival probabilities and spreads under risk neutrality An illustrative estimation of the risk premia Conclusion Appendix A Appendix B References FiguresReferencesRelatedDetailsCited By 5A Practical Valuation of the Rating-triggered Bond 이상헌 and Hosam Ki1 Dec 2018 | Financial Stability Studies, Vol. 19, No. 2신용등급 하락 조건부 채권의 가치평가(A Practical Valuation of the Rating-triggered Bond)Sang-Heon Lee and hosam ki1 Jan 2018 | SSRN Electronic Journal, Vol. 58A Jump-Diffusion Approach to Modeling Credit Risk and Valuing Defaultable SecuritiesChunsheng Zhou1 Jan 1997 | SSRN Electronic Journal, Vol. 6Implied PrepaymentsOren Cheyette1 Jan 1996 | SSRN Electronic JournalA simulation-based credit default swap pricing approach under jump-diffusionT. Joro and P. Na Financial Derivatives PricingMetrics History PDF download
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