scholarly journals Credit Gap Risk in a First Passage Time Model with Jumps

2009 ◽  
Author(s):  
Natalie Packham ◽  
Lutz Schloegl ◽  
Wolfgang M. Schmidt
Keyword(s):  
First Passage Time ◽  
Passage Time ◽  
First Passage ◽  
Time Model ◽  
Gap Risk ◽  
Credit Gap

scholarly journals Credit gap risk in a first passage time model with jumps

2013 ◽  
Vol 13 (12) ◽  
pp. 1871-1889 ◽  
Author(s):  
Natalie Packham ◽  
Lutz Schloegl ◽  
Wolfgang M. Schmidt
Keyword(s):  
First Passage Time ◽  
Passage Time ◽  
First Passage ◽  
Time Model ◽  
Gap Risk ◽  
Credit Gap

The Impact of Default Correlations on the Prices of Collateralized Bond Obligat

2002 ◽  
Vol 10 (1) ◽  
pp. 113-142
Author(s):  
In Joon Kim ◽  
Suk Joon Byun ◽  
Yuen Jung Park
Keyword(s):  
Firm Value ◽  
First Passage Time ◽  
Market Price ◽  
Numerical Procedure ◽  
Passage Time ◽  
Correlation Model ◽  
Default Correlation ◽  
First Passage ◽  
Time Model ◽  
The Impact

This paper presents a numerical procedure for pricing collateralized bond obligations (CBO) and analyze the impact of default correlations for the prices of collateralized bond obligations. Specifically, we adopt default correlation model of Zhou (2001) and first passage time model of Black and Cox (1976). The model of Black and Cox is used for estimating the value of the firm and the volatility of the firm value which are unobservable variables. We find that the impact of default correlations on the prices of collateralized bond obligations is generally quite large. This can be tested by carrying out Monte-Carlo simulations for firm value processes, assuming first no default correlations and second modeling default correlations between the processes. We also compare the model prices and recently issued CBO market price and find that no default correlation model over prices the issued CBO and default correlation model under prices the issued CBO. These results in this paper emphasize that modeling default correlations is very important in analyzing CBO and a more complicated further analysis is required.

scholarly journals A First Passage Time Model for Long-Term Survivors with Competing Risks

2011 ◽  
Vol 7 (1) ◽  
pp. 1-15 ◽  
Author(s):  
Ruimin Xu ◽  
Paul D McNicholas ◽  
Anthony F Desmond ◽  
Gerarda A Darlington
Keyword(s):  
Competing Risks ◽  
First Passage Time ◽  
Passage Time ◽  
First Passage ◽  
Time Model ◽  
Long Term Survivors

scholarly journals Credit Dynamics in a First Passage Time Model with Jumps

2010 ◽  
Author(s):  
Natalie Packham ◽  
Lutz Schloegl ◽  
Wolfgang M. Schmidt
Keyword(s):  
First Passage Time ◽  
Passage Time ◽  
First Passage ◽  
Time Model

A First-Passage Time Model for Predicting Inactivity in a Contractual Setting

2010 ◽  
Author(s):  
Andre Bonfrer ◽  
George Knox ◽  
J. Eliashberg ◽  
Jeongwen Chiang
Keyword(s):  
First Passage Time ◽  
Passage Time ◽  
First Passage ◽  
Time Model
Sign in / Sign up

Export Citation Format

Share Document