منابع مشابه
A Tractable Libor Model with Default Risk
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In this paper we develop a tractable structural model with analytical default probabilities depending on some dynamics parameters, and we show how to calibrate the model using a chosen number of Credit Default Swap (CDS) market quotes. We essentially show how to use structural models with a calibration capability that is typical of the much more tractable credit-spread based intensity models. W...
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This paper presents a theoretical model of default risk in the context of the ``market'' model approach to interest rate dynamics. We propose a model for ®nite-interval interest rates (such as LIBOR) which explicitly takes into account the possibility of default through the in ̄uence of a point process with deterministic intensity. We relate the defaultable interest rate to the non-defaultable i...
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ژورنال
عنوان ژورنال: Mathematics and Financial Economics
سال: 2012
ISSN: 1862-9679,1862-9660
DOI: 10.1007/s11579-012-0090-5