Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen:
https://hdl.handle.net/10419/40190
Kompletter Metadatensatz
DublinCore-Feld | Wert | Sprache |
---|---|---|
dc.contributor.author | Packham, Natalie | en |
dc.contributor.author | Schlögl, Lutz | en |
dc.contributor.author | Schmidt, Wolfgang M. | en |
dc.date.accessioned | 2010-09-09 | - |
dc.date.accessioned | 2010-09-24T09:04:18Z | - |
dc.date.available | 2010-09-24T09:04:18Z | - |
dc.date.issued | 2009 | - |
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 |
dc.language.iso | eng | en |
dc.publisher | |aFrankfurt School of Finance & Management, Centre for Practical Quantitative Finance (CPQF) |cFrankfurt a. M. | en |
dc.relation.ispartofseries | |aCPQF Working Paper Series |x21 | en |
dc.subject.jel | G12 | en |
dc.subject.jel | G13 | en |
dc.subject.jel | G24 | en |
dc.subject.jel | C69 | en |
dc.subject.ddc | 330 | en |
dc.subject.keyword | gap risk | en |
dc.subject.keyword | credit spreads | en |
dc.subject.keyword | credit dynamics | en |
dc.subject.keyword | first passage time models | en |
dc.subject.keyword | Lévy processes | en |
dc.subject.keyword | general Ornstein-Uhlenbeck processes | en |
dc.subject.stw | Finanzderivat | en |
dc.subject.stw | Zins | en |
dc.subject.stw | Risikoprämie | en |
dc.subject.stw | Volatilität | en |
dc.subject.stw | Stochastischer Prozess | en |
dc.subject.stw | Theorie | en |
dc.title | Credit dynamics in a first passage time model with jumps | - |
dc.type | Working Paper | en |
dc.identifier.ppn | 662556127 | en |
dc.rights | http://www.econstor.eu/dspace/Nutzungsbedingungen | en |
dc.identifier.repec | RePEc:zbw:cpqfwp:21 | en |
Datei(en):
Publikationen in EconStor sind urheberrechtlich geschützt.