Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/40179 
Kompletter Metadatensatz
DublinCore-FeldWertSprache
dc.contributor.authorPackham, Natalieen
dc.contributor.authorSchlögl, Lutzen
dc.contributor.authorSchmidt, Wolfgang M.en
dc.date.accessioned2010-09-09-
dc.date.accessioned2010-09-24T09:03:56Z-
dc.date.available2010-09-24T09:03:56Z-
dc.date.issued2009-
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
dc.language.isoengen
dc.publisher|aFrankfurt School of Finance & Management, Centre for Practical Quantitative Finance (CPQF) |cFrankfurt a. M.en
dc.relation.ispartofseries|aCPQF Working Paper Series |x22en
dc.subject.jelG12en
dc.subject.jelG13en
dc.subject.jelG24en
dc.subject.jelC69en
dc.subject.ddc330en
dc.subject.keywordgap risken
dc.subject.keywordcredit spreadsen
dc.subject.keywordcredit dynamicsen
dc.subject.keywordfirst passage time modelsen
dc.subject.keywordstochastic volatilityen
dc.subject.keywordgeneral Ornstein-Uhlenbeck processesen
dc.subject.stwFinanzderivaten
dc.subject.stwZinsen
dc.subject.stwRisikoprämieen
dc.subject.stwCredit Default Swapen
dc.subject.stwVolatilitäten
dc.subject.stwStochastischer Prozessen
dc.subject.stwTheorieen
dc.titleCredit gap risk in a first passage time model with jumps-
dc.typeWorking Paperen
dc.identifier.ppn830010149en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:cpqfwp:22en

Datei(en):
Datei
Größe
531.11 kB





Publikationen in EconStor sind urheberrechtlich geschützt.