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CPQF Working Paper Series, Frankfurt School of Finance and Management >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/40190
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Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Packham, Natalie | | en_US |
| dc.contributor.author | | Schlögl, Lutz | | en_US |
| dc.contributor.author | | Schmidt, Wolfgang M. | | en_US |
| dc.date.accessioned | | 2010-09-09 | | en_US |
| dc.date.accessioned | | 2010-09-24T09:04:18Z | | - |
| dc.date.available | | 2010-09-24T09:04:18Z | | - |
| dc.date.issued | | 2009 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/40190 | | - |
| dc.description.abstract | | The payoff of many credit derivatives depends on the level of credit spreads. In particular, the payoff of credit derivatives with a leverage component is sensitive to jumps in the underlying credit spreads. In the framework of first passage time models we extend the model introduced in [Overbeck and Schmidt, 2005] to address these issues. In the extended a model, a credit quality process is driven by an Itô integral with respect to a Brownian motion with stochastic volatility. Using a representation of the credit quality process as a time-changed Brownian motion, we 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. We show that jumps in the volatility translate into jumps in credit spreads. We examine the dynamics of the OS-model and the extended model and provide examples. | | en_US |
| dc.language.iso | | eng | | en_US |
| dc.publisher | | Frankfurt School of Finance & Management Frankfurt, M. | | en_US |
| dc.relation.ispartofseries | | CPQF Working Paper Series 21 | | en_US |
| dc.subject.jel | | G12 | | en_US |
| dc.subject.jel | | G13 | | en_US |
| dc.subject.jel | | G24 | | en_US |
| dc.subject.jel | | C69 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.keyword | | gap risk | | en_US |
| dc.subject.keyword | | credit spreads | | en_US |
| dc.subject.keyword | | credit dynamics | | en_US |
| dc.subject.keyword | | first passage time models | | en_US |
| dc.subject.keyword | | Lévy processes | | en_US |
| dc.subject.keyword | | general Ornstein-Uhlenbeck processes | | en_US |
| dc.subject.stw | | Finanzderivat | | en_US |
| dc.subject.stw | | Zins | | en_US |
| dc.subject.stw | | Risikoprämie | | en_US |
| dc.subject.stw | | Volatilität | | en_US |
| dc.subject.stw | | Stochastischer Prozess | | en_US |
| dc.subject.stw | | Theorie | | en_US |
| dc.title | | Credit dynamics in a first passage time model with jumps | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 614452759 | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | - |
| dc.identifier.repec | | RePEc:zbw:cpqfwp:21 | | - |
| Appears in Collections: | | CPQF Working Paper Series, Frankfurt School of Finance and Management
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