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dc.contributor.authorGaspar, Raquel M.en
dc.contributor.authorSchmidt, Thorstenen
dc.date.accessioned2012-03-28T13:03:20Z-
dc.date.available2012-03-28T13:03:20Z-
dc.date.issued2005-
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
dc.language.isoengen
dc.publisher|aStockholm School of Economics, The Economic Research Institute (EFI) |cStockholmen
dc.relation.ispartofseries|aSSE/EFI Working Paper Series in Economics and Finance |x616en
dc.subject.jelG12en
dc.subject.jelG13en
dc.subject.jelG33en
dc.subject.ddc330en
dc.subject.keywordCredit risken
dc.subject.keywordreduced-form modelsen
dc.subject.keywordCDSen
dc.subject.keywordCDOen
dc.subject.keywordquadratic term structuresen
dc.subject.keywordshot-noiseen
dc.subject.stwRentenmarkten
dc.subject.stwKreditrisikoen
dc.subject.stwPortfolio-Managementen
dc.subject.stwZinsstrukturtheorieen
dc.titleQuadratic models for portfolio credit risk with shot-noise effects-
dc.typeWorking Paperen
dc.identifier.ppn503993832en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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