Term structure modelling of defaultable bonds
DOI10.1007/BF01531334zbMATH Open1274.91452OpenAlexW1528364298MaRDI QIDQ375366FDOQ375366
Authors: Philipp J. Schönbucher 
Publication date: 30 October 2013
Published in: Review of Derivatives Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/bf01531334
Recommendations
default riskterm structure of interest ratesHeath-Jarrow-Morton modelcredit spreadsdefault probabilitiesdefaultable forward ratesrecovery rates
Derivative securities (option pricing, hedging, etc.) (91G20) Interest rates, asset pricing, etc. (stochastic models) (91G30)
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Cited In (34)
- Multiple ratings model of defaultable term structure.
- Title not available (Why is that?)
- Pricing CDO tranches in an intensity based model with the mean reversion approach
- Credit risk and asymmetric information: a simplified approach
- Modelling the evolution of credit spreads using the Cox process within the HJM framework: a CDS option pricing model
- A general framework for term structure models driven by Lévy processes
- Alternative defaultable term structure models
- General dynamic term structures under default risk
- Consistent dynamic affine mortality models for longevity risk applications
- LONGEVITY RISK MANAGEMENT AND SHAREHOLDER VALUE FOR A LIFE ANNUITY BUSINESS
- Structural default model with mutual obligations
- The financial impact of carbon emissions on power utilities under climate scenarios
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- Pricing of defaultable bonds with log-normal spread: development of the model and an application to Argentinean and Brazilian bonds during the Argentine crisis
- Default propensity implicit in pulled to par V@R for bonds
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- Inside the EMs Risky Spreads and CDS-Sovereign Bonds Basis
- Multiscale Intensity Models for Single Name Credit Derivatives
- Valuation of credit derivatives with multiple time scales in the intensity model
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- The Defaultable Lévy Term Structure: Ratings and Restructuring
- On the simulation of portfolios of interest rate and credit risk sensitive securities
- An integrated pricing model for defaultable loans and bonds
- Pricing extreme mortality risk in the wake of the COVID-19 pandemic
- Structural recovery of face value at default
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- An Integral-Equation Approach for Defaultable Bond Prices with Application to Credit Spreads
- QUADRATIC TERM STRUCTURE MODELS FOR RISK‐FREE AND DEFAULTABLE RATES
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