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Pricing of multiple defaultable bond - MaRDI portal

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Pricing of multiple defaultable bond (Q1847632)

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scientific article; zbMATH DE number 1836086
Language Label Description Also known as
English
Pricing of multiple defaultable bond
scientific article; zbMATH DE number 1836086

    Statements

    title
    Pricing of multiple defaultable bond (English)
    0 references
    author
    Zhihong Jian
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    Chu Lin Li
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    publication date
    2002
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    review text
    This paper presents an extension of the standard intensity models for pricing defaultable bonds that incorporates the possible effect of the default or other firms (counterparty risk). Thus the model tries to explain the spread observed on the bonds issued by the firm in terms of the firm itself and its relation to other firms.
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    zbMATH Keywords
    financial mathematics
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    credit risk
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    bond pricing
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    defaultable bonds
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    Identifiers

    Mathematics Subject Classification ID
    91G10
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    91G40
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    91B30
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    zbMATH DE Number
    1836086
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    OpenAlex ID
    W1973988486
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