Term structure modelling of defaultable bonds

DOI10.1007/BF01531334zbMath1274.91452OpenAlexW1528364298MaRDI QIDQ375366

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

zbMATH Keywords

term structure of interest ratesHeath-Jarrow-Morton modelcredit spreadsdefault riskdefault probabilitiesdefaultable forward ratesrecovery rates

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (20)

General dynamic term structures under default risk ⋮ On the simulation of portfolios of interest rate and credit risk sensitive securities ⋮ Multiscale analysis on the pricing of intensity-based defaultable bonds ⋮ Alternative defaultable term structure models ⋮ How to invest optimally in corporate bonds: a reduced-form approach ⋮ LONGEVITY RISK MANAGEMENT AND SHAREHOLDER VALUE FOR A LIFE ANNUITY BUSINESS ⋮ Pricing CDO tranches in an intensity based model with the mean reversion approach ⋮ Multiscale Intensity Models for Single Name Credit Derivatives ⋮ Modelling the evolution of credit spreads using the Cox process within the HJM framework: a CDS option pricing model ⋮ Pricing extreme mortality risk in the wake of the COVID-19 pandemic ⋮ A contagion process with self-exciting jumps in credit risk applications ⋮ Credit risk and contagion via self-exciting default intensity ⋮ Consistent dynamic affine mortality models for longevity risk applications ⋮ Defaultable Bond Markets with Jumps ⋮ Credit risk and asymmetric information: a simplified approach ⋮ An integrated pricing model for defaultable loans and bonds ⋮ Pricing of defaultable bonds with log-normal spread: development of the model and an application to Argentinean and Brazilian bonds during the Argentine crisis ⋮ Asymptotic analysis for one-name credit derivatives ⋮ Inside the EMs Risky Spreads and CDS-Sovereign Bonds Basis ⋮ Valuation of credit derivatives with multiple time scales in the intensity model

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