PDE APPROACH TO THE VALUATION AND HEDGING OF BASKET CREDIT DERIVATIVES

2007 ◽  
Vol 10 (08) ◽  
pp. 1261-1285 ◽  
Author(s):  
MAREK RUTKOWSKI ◽  
KHAN YOUSIPH
Keyword(s):  
Brownian Motion ◽  
Credit Risk ◽  
Risk Model ◽  
Credit Derivatives ◽  
Markovian Model ◽  
Credit Risk Model

The goal of this work is to examine the PDE approach to the valuation and hedging of defaultable claims in a Markovian model of credit risk. Our approach is based on the previous work by Bielecki et al. [3]. We extend the results in [3] by considering a general credit risk model, in which the number of traded assets, the dimension of the driving Brownian motion, as well as the number of default times are arbitrary.

scholarly journals The economic default time and the arcsine law

2014 ◽  
Vol 01 (03) ◽  
pp. 1450025 ◽  
Author(s):  
Xin Guo ◽  
Robert A. Jarrow ◽  
Adrien de Larrard
Keyword(s):  
Brownian Motion ◽  
Probability Distribution ◽  
Empirical Study ◽  
Credit Risk ◽  
Risk Model ◽  
Time Span ◽  
Default Time ◽  
Asset Value ◽  
The Difference ◽  
Credit Risk Model

This paper proposes a new mathematical notion of "economic default" and develops a structural credit risk model to characterize the difference between the economic and recorded default times for a firm. Recorded default occurs when default is recorded in the legal system. The economic default time is the last time when the firm is able to pay off its debt prior to the recorded default time. This work is motivated by the empirical study of Guo et al. (2008) which supports the distinction between the two default times. The probability distribution for the time span between economic and recorded defaults is analyzed, and is shown to follow a mixture of arcsine laws when the firm's asset value process is modeled by a geometric Brownian motion.

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
Sign in / Sign up

Export Citation Format

Share Document