Valuing credit default swap in a non-homogeneous semi-Markovian rating based model

被引：16

作者：

D'Amico G. ^{[1
]}

Janssen J. ^{[2
]}

Manca R. ^{[1
]}

机构：

[1] Dipartimento di Matematica per le Decisioni Economiche, Finanziarie ed Assicurative Universitá La Sapienza, 00161 Roma

[2] CESIAF, 6000 Charleroi, Bld Paul Janson

来源：

Computational Economics | 2007年 / 29卷 / 2期

关键词：

Credit risk; Default swap; Non-homogeneous semi-Markov processes; Reliability; Stochastic recovery rate;

D O I：

10.1007/s10614-006-9080-0

中图分类号：

学科分类号：

摘要：

In this paper, we use a discrete time non-homogeneous semi-Markov model for the rating evolution of the credit quality of a firm C (see D'Amico, Janssen, and Manca Proceedings of the II international workshop in applied probablity, 2004a) and we determine the credit default swap spread for a contract between two parties, A and B that, respectively, sell and buy a protection about the failure of the firm C. We work both in the case of deterministic and stochastic recovery rate. We also highlight the link between credit risk and reliability theory. © Springer Science+Business Media, LLC 2007.

引用

页码：119 / 138

页数：19

共 17 条

[1]

Barbu V., Boussemart M., Limnios N., Discrete time semi-Markov model for reliability and survival analysis, Communications in Statistics, Theory and Method, 33, 11, pp. 2833-2868, (2004)

[2]

Berthault A., Gupton G., Hamilton D.T., Default and recovery rates of corporate bond issuers: 2000, Moody's Investors Service Special Comment, February, (2001)

[3]

Blasi A., Janssen J., Manca R., Numerical treatment of homogeneous and non- homogeneous semi-Markov reliability models, Communications in Statistics, Theory and Method, 33, pp. 697-714, (2004)

[4]

Carty L., Fons J., Measuring changes in corporate credit quality, The Journal of Fixed Income, pp. 66-78, (1994)

[5]

D'Amico G., Janssen J., Manca R., Non-homogeneous semi-Markov reliability transition credit risk models, Proceedings of the II International Workshop in Applied Probability, (2004)

[6]

D'Amico G., Janssen J., Manca R., Downward credit risk problem and non-homogeeous semi-markov reliability transition models, Proceedings of the 8-th International Congress on Insurance: Mathematics and Economics, (2004)

[7]

D'Amico G., Janssen J., Manca R., Credit default swap: A semi-Markov approach, Proceedings of the 8-th International Congress on Insurance: Mathematics and Economics, (2004)

[8]

D'Amico G., Janssen J., Manca R., Transient analysis of non-homogeneous recurrence times processes and application in option pricing, (2004)

[9]

D'Amico G., Janssen J., Manca R., Homogeneous semi-Markov reliability models for credit risk management, Decisions in Economics and Finance, 28, pp. 79-93, (2005)

[10]

Howard R., Dynamic Probabilistic Systems, 2, 577, (1971)

← 1 2 →