Modelling bonds and credit default swaps using a structural model with contagion
نویسندگان
چکیده
منابع مشابه
Modelling Bonds & Credit Default Swaps using a Structural Model with Contagion
This paper develops a two-dimensional structural framework for valuing credit default swaps and corporate bonds in the presence of default contagion. Modelling the values of related firms as correlated geometric Brownian motions with exponential default barriers, analytical formulae are obtained for both credit default swap spreads and corporate bond yields. The credit dependence structure is i...
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ژورنال
عنوان ژورنال: Quantitative Finance
سال: 2008
ISSN: 1469-7688,1469-7696
DOI: 10.1080/14697680701834614