Does modeling framework matter? A comparative study of structural and reduced-form models

DOI10.1007/S11147-013-9090-8MaRDI QIDQ2447508zbMATH OpenOpenAlexFDO

Authors Yalin Gündüz, Marliese Uhrig-Homburg

Publication date 25 April 2014

Published in Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10419/45639

zbMATH Keywords

credit default swapscredit riskdefault intensityreduced-form modelsstationary leveragestructural models

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

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Cites work

• An empirical analysis of alternative recovery risk models and implied recovery rates
• An equilibrium characterization of the term structure
• Changes of numéraire, changes of probability measure and option pricing
• Common risk factors in the returns on stocks and bonds
• Leverage, options liabilities, and corporate bond pricing
• On Cox processes and credit risky securities
• Predicting credit default swap prices with financial and pure data-driven approaches

Cited in

(2)

• A revised version of the Cathcart \& El-Jahel model and its application to CDS market
• A two-factor structural model for valuing corporate securities

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