Name
Abstract | ||
|---|---|---|
Corporate defaults may be triggered by some major market news or events such as financial crises or collapses of major banks or financial institutions. With a view to develop a more realistic model for credit risk analysis, we introduce a new type of reduced-form intensity-based model that can incorporate the impacts of both observable 'trigger' events and economic environment on corporate defaults. The key idea of the model is to augment a Cox process with 'trigger' events. Both single-default and multiple-default cases are considered in this paper. In the former case, a simple expression for the distribution of the default time is obtained. Applications of the proposed model to price defaultable bonds and multi-name Credit Default Swaps are provided. |
Year | DOI | Venue |
|---|---|---|
2014 | 10.1057/jors.2013.99 | JORS |
Keywords | DocType | Volume |
reduced-form models,'trigger' events,multiple defaults,Cox process,defaultable bonds,basket credit default swaps | Journal | 65 |
Issue | ISSN | Citations |
3 | 0160-5682 | 1 |
PageRank | References | Authors |
0.36 | 2 | 4 |
Name | Order | Citations | PageRank |
|---|---|---|---|
| Jia-Wen Gu | 1 | 12 | 3.07 |
| Wai-Ki Ching | 2 | 683 | 78.66 |
| Tak Kuen Siu | 3 | 114 | 20.25 |
| Harry Zheng | 4 | 28 | 9.30 |