A Gaussian Term Structure Model of Credit Spreads and Valuation of Credit Spread Options
スポンサーリンク
概要
- 論文の詳細を見る
This paper proposes a simple arbitrage-free model for the term structure of credit spreads and their evolution in time where the likelihood of default is interpreted by a stochastic intensity process. The extended Vasicek model of Hull and White [1990] is used not only for the defaultfree spot rates but also for the intensity process of default. Assuming that the recovery rate is constant, our model is shown to be very tractable analytically and consistent with the current term structures of default-free interest rates and credit spreads simultaneously. The model will prove useful in practice for pricing and hedging credit derivatives such as credit spread options.
- 国立大学法人 京都大学大学院経済学研究科の論文
国立大学法人 京都大学大学院経済学研究科 | 論文
- The Discontinuous Trend Unit Root Test with a Break Interval
- Kyoto School of Modern Economic Theory
- The Distributional Effects of a China Carbon Tax: A Rural–Urban Assessment
- Political Economy in Late Eighteenth-Century British Radicalism:A Re-Examination of the Analytical Categories
- International Competitiveness of Japan's Petroleum Industry: A View from Applied Business History