G2TT
来源类型Discussion paper
规范类型论文
来源IDDP3315
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
URLhttps://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.
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