Does modeling framework matter? A comparative study of structural and reduced-form models

DOI10.1007/s11147-013-9090-8zbMath1285.91139OpenAlexW2045416199MaRDI QIDQ2447508

Marliese Uhrig-Homburg, Yalin Gündüz

Publication date: 25 April 2014

Published in: Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10419/45639

zbMATH Keywords

credit riskstructural modelscredit default swapsdefault intensityreduced-form modelsstationary leverage

Mathematics Subject Classification ID

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

Related Items (1)

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

Cites Work

• On Cox processes and credit risky securities
• Leverage, options liabilities, and corporate bond pricing
• Predicting credit default swap prices with financial and pure data-driven approaches
• Changes of numéraire, changes of probability measure and option pricing
• An equilibrium characterization of the term structure
• Common risk factors in the returns on stocks and bonds
• An empirical analysis of alternative recovery risk models and implied recovery rates

This page was built for publication: Does modeling framework matter? A comparative study of structural and reduced-form models