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A simple model for credit migration and spread curves

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Author Info
Li Chen ()
Damir Filipović ()
Abstract

We propose and examine a simple model for credit migration and spread curves of a single firm both under real-world and risk-neutral measures. This model is a hybrid of a structural and a reduced-form model. Default is triggered either by successive downgradings of the firm or an unpredictable jump of the state process. The default time is accordingly decomposed into predictable and totally inaccessible part. Copyright Springer-Verlag Berlin/Heidelberg 2005

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File URL: http://hdl.handle.net/10.1007/s00780-004-0140-9
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Publisher Info
Article provided by Springer in its journal Finance and Stochastics.

Volume (Year): 9 (2005)
Issue (Month): 2 (04)
Pages: 211-231
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Handle: RePEc:spr:finsto:v:9:y:2005:i:2:p:211-231

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Web page: http://www.springerlink.com/content/101164/

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Related research
Keywords: Credit risk model; affine process; equivalent change of measure;

Cited by:
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  1. Peter Carr & Vadim Linetsky, 2006. "A jump to default extended CEV model: an application of Bessel processes," Finance and Stochastics, Springer, vol. 10(3), pages 303-330, September. [Downloadable!] (restricted)
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This page was last updated on 2009-12-22.

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