Credit Default Swap Spreads and U.S. Financial Market: Investigating Some Dependence Structure

Author(s):  
Hayette Gatfaoui
2017 ◽  
Vol 64 ◽  
pp. 183-195 ◽  
Author(s):  
Arndt Claußen ◽  
Sebastian Löhr ◽  
Daniel Rösch ◽  
Harald Scheule

2013 ◽  
Vol 16 (04) ◽  
pp. 1350021 ◽  
Author(s):  
MARTIN HELLMICH ◽  
STEFAN KASSBERGER ◽  
WOLFGANG M. SCHMIDT

This paper investigates a structural credit default model that is based on a hyper-exponential jump diffusion process for the value of the firm. For credit default swap prices and other quantities of interest, explicit expressions for the corresponding Laplace transforms are derived. The time-dynamics of the model are studied, particularly the jumps in credit spreads, the understanding of which is crucial e.g. for the pricing of gap risk. As an application of our findings, the model is calibrated to credit default swap spreads observed in the market.


2018 ◽  
Vol 60 (3) ◽  
pp. 1943-1977 ◽  
Author(s):  
Pervaiz Alam ◽  
Xiaoling Pu ◽  
Barry Hettler ◽  
Hai Lin

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