منابع مشابه
Credit default swap spreads and variance risk premia
0378-4266/$ see front matter 2013 Elsevier B.V. All rights reserved. http://dx.doi.org/10.1016/j.jbankfin.2013.02.021 q We would like to thank Turan Bali, Antje Berndt, Michael Brennan, Darrell Duffie, Robert Geske, Bing Han, Jean Helwege, Robert Jarrow, George Jiang, George Tauchen, Marliese Uhrig-Homburg, Jan Werner, Yelena Larkin, Liuren Wu, Yuhang Xing, and Hong Yan; seminar participants at...
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This paper presents a conceptual framework for valuation of single-name credit derivatives, and recuperates, in some cases generalizing, a few of known results in credit risk theory. Valuation is viewed with respect to a given state price and relative to a general numeraire. Survival probabilities and default recoveries are considered as processes adapted to a subfiltration, following Jeanblanc...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2012
ISSN: 1556-5068
DOI: 10.2139/ssrn.2055346