Credit gap risk in a first passage time model with jumps

DOI10.1080/14697688.2012.739729zbMath1282.91362OpenAlexW2145307081MaRDI QIDQ5400654

Wolfgang M. Schmidt, Lutz Schlögl, Natalie Packham

Publication date: 4 March 2014

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10419/40179

zbMATH Keywords

stochastic volatilitycredit spreadsgap riskcredit dynamicsfirst passage time modelsgeneral Ornstein-Uhlenbeck processes

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Related Items

Model risk of contingent claims ⋮ A factor model for joint default probabilities. Pricing of CDS, index swaps and index tranches ⋮ Large portfolio losses in a turbulent market ⋮ Finite-time ruin probability of a perturbed risk model with dependent main and delayed claims

Cites Work

• The surprise element: Jumps in interest rates.
• Term Structures of Credit Spreads with Incomplete Accounting Information
• VASIČEK BEYOND THE NORMAL