A revised version of the Cathcart \& El-Jahel model and its application to CDS market (Q2064595)
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scientific article; zbMATH DE number 7452713
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| English | A revised version of the Cathcart \& El-Jahel model and its application to CDS market |
scientific article; zbMATH DE number 7452713 |
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A revised version of the Cathcart \& El-Jahel model and its application to CDS market (English)
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6 January 2022
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The authors are concerned with the pricing of credit default swaps. In previous research, a hybrid model of \textit{L. Cathcart} and \textit{L. El-Jahel} [Quant. Finance 6, No. 3, 243--253 (2006; Zbl 1136.91474)] has been proposed. In this paper, the intensity of the default follows from a Vašíček model rather than the CIR interest rate model. This allows for the inclusion of negative interest rates. Also, this approach permits for more efficient use of computer time for calculating prices. This credit model should be of interest to academics and practitioners alike.
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credit risk
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hybrid models
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credit default swaps
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0.784904420375824
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0.7647932767868042
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0.7647475600242615
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0.7609723806381226
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