A Simple Model for Credit Migration and Spread Curves
AbstractWe propose and examine a simple model for credit migration and spread curves of a single firm both under the real-world and the risk-neutral measure. 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.
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Bibliographic InfoPaper provided by EconWPA in its series Finance with number 0305003.
Length: 21 pages
Date of creation: 14 May 2003
Date of revision:
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Credit Risk Modeling; Credit Migration; Structural Models; Intensity Based Models; Affine Processes;
Find related papers by JEL classification:
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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