| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP3315 |
| DP3315 Distributional Conflict in Organisations | |
| Roman Inderst; Holger Mueller; Karl Wärneryd | |
| 发表日期 | 2002-04-20 |
| 出版年 | 2002 |
| 语种 | 英语 |
| 摘要 | We develop a model for pricing risky debt and valuing credit derivatives that is easily calibrated to existing variables. Our approach is based on expanding the Heath-Jarrow-Morton (1990) term-structure model and its extension, the Das-Sundaram (2000) model to allow for defaultable debt with rating transitions. The framework has two salient features, comprising extensions over the earlier work: (i) it employs a rating transition matrix as the driver for the default process, and (ii) the entire set of rating categories is calibrated jointly, allowing, with minimal assumptions, arbitrage-free restrictions across rating classes, as a bond migrates amongst them. We provide an illustration of the approach by applying it to price credit sensitive notes that have coupon payments that are linked to the rating of the underlying credit. |
| 主题 | Financial Economics |
| 关键词 | Risky debt Rating transitions Credit derivatives Credit sensitive note Hjm model |
| URL | https://cepr.org/publications/dp3315 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/532341 |
| 推荐引用方式 GB/T 7714 | Roman Inderst,Holger Mueller,Karl Wärneryd. DP3315 Distributional Conflict in Organisations. 2002. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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