A SPREAD-RETURN MEAN-REVERTING MODEL FOR CREDIT SPREAD DYNAMICS

DOI10.1142/S0219024914500174zbMath1293.91185OpenAlexW3124651398MaRDI QIDQ5420697

Matthew J. M. Peacock, Brendan O'Donoghue, Luca Capriotti, Jacky Lee

Publication date: 13 June 2014

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024914500174

zbMATH Keywords

heavy tailscredit riskrisk managementmodel fittingcredit default swapsreturn autocorrelation

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Applications of queueing theory (congestion, allocation, storage, traffic, etc.) (60K30) Credit risk (91G40)

Related Items (1)

PRICING SOVEREIGN CONTINGENT CONVERTIBLE DEBT

Cites Work

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• An equilibrium characterization of the term structure
• Pricing Interest-Rate-Derivative Securities
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• Compressed sensing

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