Pricing credit-risky bonds and spread options modelling credit-spread term structures with two-dimensional Markov-modulated jump-diffusion

2015 ◽  
Vol 16 (4) ◽  
pp. 573-592 ◽  
Author(s):  
Son-Nan Chen ◽  
Pao-Peng Hsu ◽  
Chang-Yi Li
Keyword(s):  
Jump Diffusion ◽  
Credit Spread ◽  
Two Dimensional ◽  
Spread Options ◽  
Term Structures ◽  
Risky Bonds ◽  
Markov Modulated

Rating Agency Adjustments to GAAP Financial Statements and Their Effect on Ratings and Credit Spreads

2014 ◽  
Vol 90 (2) ◽  
pp. 641-674 ◽  
Author(s):  
Pepa Kraft
Keyword(s):  
Default Risk ◽  
Credit Rating ◽  
Credit Ratings ◽  
Balance Sheet ◽  
Financial Statements ◽  
Financial Statement ◽  
Credit Spread ◽  
Credit Spreads ◽  
Term Structures ◽  
Interest Expense

ABSTRACT I examine a dataset of both quantitative (hard) adjustments to firms' reported U.S. GAAP financial statement numbers and qualitative (soft) adjustments to firms' credit ratings that Moody's develops and uses in its credit rating process. I first document differences between firms' reported and Moody's adjusted numbers that are both large and frequent across firms. For example, primarily because of upward adjustments to interest expense and debt attributable to firms' off-balance sheet debt, on average, adjusted coverage (cash flow-to-debt) ratios are 27 percent (8 percent) lower and adjusted leverage ratios are 70 percent higher than the corresponding U.S. GAAP ratios. I then find that Moody's hard and soft rating adjustments are associated with significantly higher credit spreads and flatter credit spread term structures. Overall, the results indicate that Moody's quantitative adjustments to financial statement numbers and qualitative adjustments to credit ratings enable it to better capture default risk, consistent with it effectively processing both hard and soft information.

scholarly journals Pricing vulnerable options under a Markov-modulated jump-diffusion model with fire sales

2019 ◽  
Vol 15 (1) ◽  
pp. 293-318 ◽  
Author(s):  
Qing-Qing Yang ◽  
◽  
Wai-Ki Ching ◽  
Wanhua He ◽  
Tak-Kuen Siu ◽  
...  
Keyword(s):  
Diffusion Model ◽  
Jump Diffusion ◽  
Fire Sales ◽  
Jump Diffusion Model ◽  
Markov Modulated ◽  
Vulnerable Options

Jump diffusion in the strong-collision model on a two-dimensional triangular lattice

2014 ◽  
Vol 608 ◽  
pp. 360-365 ◽  
Author(s):  
E. Elkoraychy ◽  
M. Mazroui ◽  
R. Ferrando ◽  
Y. Boughaleb
Keyword(s):  
Triangular Lattice ◽  
Jump Diffusion ◽  
Two Dimensional ◽  
Collision Model

On pricing of credit spread options

2005 ◽  
Vol 163 (1) ◽  
pp. 52-64 ◽  
Author(s):  
Rosella Giacometti ◽  
Mariangela Teocchi
Keyword(s):  
Credit Spread ◽  
Spread Options
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