scholarly journals Pricing Credit Default Swap under Fractional Vasicek Interest Rate Model

2014 ◽  
Vol 04 (01) ◽  
pp. 10-20 ◽  
Author(s):  
Ruili Hao ◽  
Yonghui Liu ◽  
Shoubai Wang
Keyword(s):  
Interest Rate ◽  
Credit Default Swap ◽  
Rate Model ◽  
Credit Default ◽  
Interest Rate Model ◽  
Default Swap ◽  
Vasicek Interest Rate Model

scholarly journals A Note on Credit Insurance

2006 ◽  
Vol 36 (02) ◽  
pp. 347-360 ◽  
Author(s):  
Johannes Leitner
Keyword(s):  
Interest Rate ◽  
Recovery Rate ◽  
Credit Default Swap ◽  
Credit Default ◽  
Premium Calculation ◽  
Linear Ode ◽  
Default Swap ◽  
Stochastic Recovery Rate ◽  
Constant Interest Rate ◽  
Constant Interest

In a simple stationary setting with constant interest rate, we derive pricing formulas for defaultable bonds with stochastic recovery rate using a replication argument. Replication is done by using an insurance contract (i.e. a kind of credit default swap), the price of which is determined by a dynamic premium calculation principle. We consider two cases, a linear one, where pricing amounts to solving an inhomogeneous linear ODE, and a super-linear case where a Riccati ODE has to be solved.

THE DETERMINANTS OF CREDIT DEFAULT SWAP RATES: AN EXPLANATORY STUDY

2006 ◽  
Vol 09 (01) ◽  
pp. 23-42 ◽  
Author(s):  
FATHI ABID ◽  
NADER NAIFAR
Keyword(s):  
Interest Rate ◽  
Linear Regression ◽  
Credit Rating ◽  
Yield Curve ◽  
Credit Default Swap ◽  
Credit Default ◽  
Risk Pricing ◽  
Default Swap ◽  
Credit Risk Pricing ◽  
Swap Rates

The aim of this paper is to explain empirically the determinants of credit default swap rates using a linear regression. We document that the majority of variables, detected from the credit risk pricing theories, explain more than 60% of the total level of credit default swap. These theoretical variables are credit rating, maturity, riskless interest rate, slope of the yield curve and volatility of equities. The estimated coefficients for the majority of these variables are consistent with theory and they are significant both statistically and economically. We conclude that credit rating is the most determinant of credit default swap rates.

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