Arbeitspapier
Valuation of credit default swaps via Bessel bridges
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.
- Sprache
-
Englisch
- Erschienen in
-
Series: Working Papers ; No. 2014-27
- Klassifikation
-
Wirtschaft
- Thema
-
credit default swap
Bessel bridge
hitting time
defaultable bond
- Ereignis
-
Geistige Schöpfung
- (wer)
-
del Valle, Gerardo Hernández
Pacheco-González, Carlos
- Ereignis
-
Veröffentlichung
- (wer)
-
Banco de México
- (wo)
-
Ciudad de México
- (wann)
-
2014
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- del Valle, Gerardo Hernández
- Pacheco-González, Carlos
- Banco de México
Entstanden
- 2014
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