Asymptotic Expansion for Term Structures of Defaultable Bonds with Non-Gaussian Dependent Innovations

被引：0

作者：

Miura M. ^{[1
]}

Tamaki K. ^{[2
]}

Shiohama T. ^{[3
]}

机构：

[1] Graduate School of Engineering, Tokyo University of Science, Tokyo, 162-8601, 1-3 Kagurazaka, Shinjuku

[2] Waseda University, Tokyo, 169-8050, 1-6-1 Nishiwaseda, Shinjuku

[3] Department of Management Science, Tokyo University of Science, Tokyo, 162-8601, 1-3 Kagurazaka, Shinjuku

来源：

Asia-Pacific Financial Markets | 2013年 / 20卷 / 4期

基金：

日本学术振兴会;

关键词：

Credit risk; Edgeworth expansion; Short rates; Term structure; Vasicek model;

D O I：

10.1007/s10690-013-9169-0

中图分类号：

学科分类号：

摘要：

In the context of credit risk, the term structure models that have been studied in the literature are typically models driven by Brownian motion or standard jump diffusions. These models provide coherent modeling that is straightforward to implement. To make these models more flexible, we develop a discrete-time approximation of a continuous-time Vasicek term structure analysis with non-Gaussian and dependent innovations. Higher-order asymptotic theory enables us to evaluate the term structures of defaultable bonds. Numerical examples show that the effects of non-Gaussianity and the dependency of both risk-free rate and default process strongly influence the evaluation of defaultable bonds. As an application, we estimate the parameters of our proposed models for the Japanese corporate credit default swap market. © 2013 Springer Science+Business Media New York.

引用

页码：311 / 344

页数：33

共 32 条

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