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A simple model for credit migration and spread curves

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Author Info

  • Li Chen

    ()

  • Damir Filipović

    ()

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    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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    Bibliographic 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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    Related research

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

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    Cited by:
    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.

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