scholarly journals Pricing the Zero-Coupon Bond and its Fair Premium Under a Structural Credit Risk Model with Jumps

2011 ◽  
Vol 48 (02) ◽  
pp. 404-419 ◽  
Author(s):  
Yinghui Dong ◽  
Guojing Wang ◽  
Rong Wu
Keyword(s):  
Laplace Transform ◽  
Credit Risk ◽  
Closed Form ◽  
Risk Model ◽  
Market Value ◽  
Credit Spread ◽  
The Laplace Transform ◽  
Credit Risk Model ◽  
Coupon Bond ◽  
Fair Premium

In this paper we consider a structural form credit risk model with jumps. We investigate the credit spread, the price, and the fair premium of the zero-coupon bond for the proposed model. The price and the fair premium of the bond are associated with the Laplace transform of default time and the firm's expected present market value at default. We give sufficient conditions under which the Laplace transform and the expected present market value of a firm at default are twice continuously differentiable. We derive closed-form expressions for them when the jumps have a hyperexponential distribution. Using the closed-form expressions, we obtain numerical solutions for the default probability, the credit spread, and the fair premium of the bond.

scholarly journals Pricing the Zero-Coupon Bond and its Fair Premium Under a Structural Credit Risk Model with Jumps

2011 ◽  
Vol 48 (2) ◽  
pp. 404-419 ◽  
Author(s):  
Yinghui Dong ◽  
Guojing Wang ◽  
Rong Wu
Keyword(s):  
Laplace Transform ◽  
Credit Risk ◽  
Closed Form ◽  
Risk Model ◽  
Market Value ◽  
Credit Spread ◽  
The Laplace Transform ◽  
Credit Risk Model ◽  
Coupon Bond ◽  
Fair Premium

In this paper we consider a structural form credit risk model with jumps. We investigate the credit spread, the price, and the fair premium of the zero-coupon bond for the proposed model. The price and the fair premium of the bond are associated with the Laplace transform of default time and the firm's expected present market value at default. We give sufficient conditions under which the Laplace transform and the expected present market value of a firm at default are twice continuously differentiable. We derive closed-form expressions for them when the jumps have a hyperexponential distribution. Using the closed-form expressions, we obtain numerical solutions for the default probability, the credit spread, and the fair premium of the bond.

Replication of Contingent Claims in a Reduced-Form Credit Risk Model with Discontinuous Asset Prices

2006 ◽  
Vol 22 (4) ◽  
pp. 661-687 ◽  
Author(s):  
Tomasz R. Bielecki ◽  
Monique Jeanblanc ◽  
Marek Rutkowski
Keyword(s):  
Credit Risk ◽  
Asset Prices ◽  
Risk Model ◽  
Contingent Claims ◽  
Reduced Form ◽  
Credit Risk Model

A HMM Intensity-Based Credit Risk Model and Filtering

2013 ◽  
pp. 169-184 ◽  
Author(s):  
Robert J. Elliott ◽  
Tak Kuen Siu
Keyword(s):  
Credit Risk ◽  
Risk Model ◽  
Credit Risk Model
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