Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/40179
Full metadata record
DC FieldValueLanguage
dc.contributor.authorPackham, Natalieen_US
dc.contributor.authorSchlögl, Lutzen_US
dc.contributor.authorSchmidt, Wolfgang M.en_US
dc.date.accessioned2010-09-09en_US
dc.date.accessioned2010-09-24T09:03:56Z-
dc.date.available2010-09-24T09:03:56Z-
dc.date.issued2009en_US
dc.identifier.urihttp://hdl.handle.net/10419/40179-
dc.description.abstractThe payoff of many credit derivatives depends on the level of credit spreads. In particular, credit derivatives with a leverage component are subject to gap risk, a risk associated with the occurrence of jumps in the underlying credit default swaps. In the framework of first passage time models, we consider a model that addresses these issues. The principal idea is to model a credit quality process as an Itô integral with respect to a Brownian motion with a stochastic volatility. Using a representation of the credit quality process as a time-changed Brownian motion, one can derive formulas for conditional default probabilities and credit spreads. An example for a volatility process is the square root of a Lévy-driven Ornstein-Uhlenbeck process. The model can be implemented efficiently using a technique called Panjer recursion. Calibration to a wide range of dynamics is supported. We illustrate the effectiveness of the model by valuing a leveraged credit-linked note.en_US
dc.language.isoengen_US
dc.publisher|aFrankfurt School of Finance & Management |cFrankfurt, M.en_US
dc.relation.ispartofseries|aCPQF Working Paper Series |x22en_US
dc.subject.jelG12en_US
dc.subject.jelG13en_US
dc.subject.jelG24en_US
dc.subject.jelC69en_US
dc.subject.ddc330en_US
dc.subject.keywordgap risken_US
dc.subject.keywordcredit spreadsen_US
dc.subject.keywordcredit dynamicsen_US
dc.subject.keywordfirst passage time modelsen_US
dc.subject.keywordstochastic volatilityen_US
dc.subject.keywordgeneral Ornstein-Uhlenbeck processesen_US
dc.subject.stwFinanzderivaten_US
dc.subject.stwZinsen_US
dc.subject.stwRisikoprämieen_US
dc.subject.stwCredit Default Swapen_US
dc.subject.stwVolatilitäten_US
dc.subject.stwStochastischer Prozessen_US
dc.subject.stwTheorieen_US
dc.titleCredit gap risk in a first passage time model with jumpsen_US
dc.type|aWorking Paperen_US
dc.identifier.ppn830010149en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
dc.identifier.repecRePEc:zbw:cpqfwp:22-

Files in This Item:
File
Size
531.11 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.