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dc.contributor.authorGaspar, Raquel M.en_US
dc.contributor.authorSchmidt, Thorstenen_US
dc.date.accessioned2012-03-28T13:03:20Z-
dc.date.available2012-03-28T13:03:20Z-
dc.date.issued2005en_US
dc.identifier.urihttp://hdl.handle.net/10419/56099-
dc.description.abstractWe propose a reduced form model for default that allows us to derive closed-form solutions to all the key ingredients in credit risk modeling: risk-free bond prices, defaultable bond prices (with and without stochastic recovery) and probabilities of survival. We show that all these quantities can be represented in general exponential quadratic forms, despite the fact that the intensity is allowed to jump producing shot-noise effects. In addition, we show how to price defaultable digital puts, CDSs and options on defaultable bonds. Further on, we study a model for portfolio credit risk where we consider both firm specific and systematic risks. The model generalizes the attempt from Duffie and Garleanu (2001). We find that the model produces realistic default correlation and clustering of defaults. Then, we show how to price first-to-default swaps, CDOs, and draw the link to currently proposed credit indices.en_US
dc.language.isoengen_US
dc.publisherEkonomiska Forskningsinst. Stockholmen_US
dc.relation.ispartofseriesSSE/EFI Working Paper Series in Economics and Finance 616en_US
dc.subject.jelG12en_US
dc.subject.jelG13en_US
dc.subject.jelG33en_US
dc.subject.ddc330en_US
dc.subject.keywordCredit risken_US
dc.subject.keywordreduced-form modelsen_US
dc.subject.keywordCDSen_US
dc.subject.keywordCDOen_US
dc.subject.keywordquadratic term structuresen_US
dc.subject.keywordshot-noiseen_US
dc.subject.stwRentenmarkten_US
dc.subject.stwKreditrisikoen_US
dc.subject.stwPortfolio-Managementen_US
dc.subject.stwZinsstrukturtheorieen_US
dc.titleQuadratic models for portfolio credit risk with shot-noise effectsen_US
dc.typeWorking Paperen_US
dc.identifier.ppn503993832en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
Appears in Collections:SSE/EFI Working Paper Series in Economics and Finance, EFI - The Economic Research Institute, Stockholm School of Economics

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