کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5076170 | 1477203 | 2017 | 50 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
A factor model for joint default probabilities. Pricing of CDS, index swaps and index tranches
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
A factor model is proposed for the valuation of credit default swaps, credit indices and CDO contracts. The model of default is based on the first-passage distribution of a Brownian motion time modified by a continuous time-change. Various model specifications fall under this general approach based on defining the credit-quality process as an innovative time-change of a standard Brownian motion where the volatility process is mean reverting Lévy driven OU type process. Our models are bottom-up and can account for sudden moves in the level of CDS spreads representing the so-called credit gap risk. We develop FFT computational tools for calculating the distribution of losses and we show how to apply them to several specifications of the time-changed Brownian motion. Our line of modelling is flexible enough to facilitate the derivation of analytical formulae for conditional probabilities of default and prices of credit derivatives.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Insurance: Mathematics and Economics - Volume 72, January 2017, Pages 21-35
Journal: Insurance: Mathematics and Economics - Volume 72, January 2017, Pages 21-35
نویسندگان
Catalin Cantia, Radu Tunaru,