A revised version of the Cathcart \& El-Jahel model and its application to CDS market

DOI10.1007/s10203-021-00350-xzbMath1483.91241OpenAlexW3188391963MaRDI QIDQ2064595

Hana Dvořáčková, Davide Radi, Gabriele Torri, Vu Phuong Hoang

Publication date: 6 January 2022

Published in: Decisions in Economics and Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10203-021-00350-x

zbMATH Keywords

credit riskhybrid modelscredit default swaps

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• On Cox processes and credit risky securities
• Pricing the risks of default
• Default and information
• Distressed debt prices and recovery rate estimation
• A very efficient approach to compute the first-passage probability density function in a time-changed Brownian model: applications in finance
• A unified approach to pricing and risk management of equity and credit risk
• Modeling credit value adjustment with downgrade-triggered termination clause using a ruin theoretic approach
• Finite-time survival probability and credit default swaps pricing under geometric Lévy markets
• Does modeling framework matter? A comparative study of structural and reduced-form models
• A Theory of the Term Structure of Interest Rates
• An Integrated Model for Hybrid Securities
• Term Structures of Credit Spreads with Incomplete Accounting Information
• Computing the survival probability in the Madan–Unal credit risk model: application to the CDS market
• Qualitative Methods in Continuous and Discrete Dynamical Systems
• An equilibrium characterization of the term structure
• Pricing defaultable bonds: a middle-way approach between structural and reduced-form models

This page was built for publication: A revised version of the Cathcart \& El-Jahel model and its application to CDS market