Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/129942
Authors: 
del Valle, Gerardo Hernández
Pacheco-González, Carlos
Year of Publication: 
2014
Series/Report no.: 
Working Papers, Banco de México 2014-27
Abstract: 
A credit default swap (CDS) is a financial contract in which the holder of the instrument will be compensated in the event of a loan default. When available, CDS's are used to monitor the credit risk of countries and companies. In this work we develop a closed form procedure to value a CDS in the case in which the so-called "credit rate index" is modelled as a Bessel bridge of arbitrary order. In particular, these processes seem to capture the nature of a defaultable asset in the sense that they remain strictly positive before default, and thus enrich the existing literature in this field.
Subjects: 
credit default swap
Bessel bridge
hitting time
defaultable bond
JEL: 
G0
G1
Document Type: 
Working Paper
Appears in Collections:

Files in This Item:
File
Size
373.21 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.