Pricing of multiple defaultable bond (Q1847632)
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scientific article; zbMATH DE number 1836086
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Pricing of multiple defaultable bond |
scientific article; zbMATH DE number 1836086 |
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Pricing of multiple defaultable bond (English)
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2002
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This paper presents an extension of the standard intensity models for pricing defaultable bonds that incorporates the possible effect of the default or other firms (counterparty risk). Thus the model tries to explain the spread observed on the bonds issued by the firm in terms of the firm itself and its relation to other firms.
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financial mathematics
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credit risk
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bond pricing
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defaultable bonds
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0.785402774810791
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0.7840250134468079
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0.7799955606460571
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0.7784436941146851
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