A defaultable HJM modelling of the Libor rate for pricing basis swaps after the credit crunch

DOI10.1016/J.EJOR.2015.08.031MaRDI QIDQ320915zbMATH OpenOpenAlexFDO

Authors Viviana Fanelli

Publication date 7 October 2016

Published in European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.ejor.2015.08.031

zbMATH Keywords

HJM modelcredit crisisbasis swapsLibor modelsmulti-curve term structure modelling

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Credit risk (91G40) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Recommendations

• A multiple-curve HJM model of interbank risk
• Implications of implicit credit spread volatilities on interest rate modelling
• DEFAULTABLE LÉVY LIBOR RATES AND CREDIT DERIVATIVES
• Rating based Lévy Libor model
• Interbank credit risk modeling with self-exciting jump processes

Cites work

• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Credit derivatives pricing with stochastic volatility models
• Interest rate models -- theory and practice. With smile, inflation and credit
• Modelling the evolution of credit spreads using the Cox process within the HJM framework: a CDS option pricing model
• Multiple ratings model of defaultable term structure.
• Rating based Lévy Libor model
• The Market Model of Interest Rate Dynamics

Cited in

(11)

• Approximate pricing of swaptions in affine and quadratic models
• Integrated structural approach to credit value adjustment
• Convexity adjustment for constant maturity swaps in a multi-curve framework
• A tractable LIBOR model with default risk
• Interbank credit risk modeling with self-exciting jump processes
• DEFAULTABLE LÉVY LIBOR RATES AND CREDIT DERIVATIVES
• A multiple-curve HJM model of interbank risk
• Implications of implicit credit spread volatilities on interest rate modelling
• Nonlinear valuation under credit, funding, and margins: existence, uniqueness, invariance, and disentanglement
• Improved scalability and risk factor proxying with a two-step principal component analysis for multi-curve modelling
• Decomposing LIBOR in transition: evidence from the futures markets

This page was built for publication: A defaultable HJM modelling of the Libor rate for pricing basis swaps after the credit crunch

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q320915)