Name
Abstract | ||
|---|---|---|
This paper presents a new structural framework for multidimensional default risk. We define the time of default as the first time the log-return of the stock price of a firm jumps below a (possibly nonconstant) default level. When stock prices are exponential Levy, this framework is equivalent to a reduced form approach, where the intensity process is parametrized by a Levy measure. The dependence between the default times of firms within a basket of credit securities is the result of the jump dependence of their respective stock prices, making the link between the equity and credit markets. We value a first-to-default basket credit default swap (CDS) as an application. |
Year | DOI | Venue |
|---|---|---|
2016 | 10.1137/140993892 | SIAM JOURNAL ON FINANCIAL MATHEMATICS |
Keywords | Field | DocType |
Levy processes,Levy copula,credit risk,structural models,reduced form models | Credit default swap,Financial economics,Economics,iTraxx,Credit valuation adjustment,Credit default swap index,Equity (finance),Jump,Lévy process,Credit risk | Journal |
Volume | Issue | ISSN |
7 | 1 | 1945-497X |
Citations | PageRank | References |
0 | 0.34 | 0 |
Authors | ||
2 | ||
Name | Order | Citations | PageRank |
|---|---|---|---|
| Pierre Garreau | 1 | 0 | 0.34 |
| Alec N. Kercheval | 2 | 1 | 0.70 |