Credit Spreads with Jump Risks and Stationary Leverage Ratio
نویسندگان
چکیده
منابع مشابه
Credit Spreads, Optimal Capital Structure, and Implied Volatility with Endogenous Default and Jump Risk
We propose a two-sided jump model for credit risk by extending the Leland-Toft endogenous default model based on the geometric Brownian motion. The model shows that jump risk and endogenous default can have significant impacts on credit spreads, optimal capital structure, and implied volatility of equity options: (1) The jump and endogenous default can produce a variety of non-zero credit sprea...
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ژورنال
عنوان ژورنال: Asia-Pacific Journal of Financial Studies
سال: 2010
ISSN: 2041-9945,2041-6156
DOI: 10.1111/j.2041-6156.2009.00003.x