A reduced-form model for pricing defaultable bonds and credit default swaps with stochastic recovery

DOI10.1002/ASMB.2200zbMATH Open1420.91474OpenAlexW2520722815MaRDI QIDQ4620167FDOQ4620167

Authors: Jian Pan, Qingxian Xiao 

Publication date: 8 February 2019

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/asmb.2200

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zbMATH Keywords

pricingCDSreduced-form modeldefaultable bondstochastic recoveryPDE approach

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Applications of renewal theory (reliability, demand theory, etc.) (60K10) Credit risk (91G40) Financial applications of other theories (91G80)

Cited In (10)

• Research on CDS pricing model with endogenous recovery rate
• Pricing a defaultable bond with a stochastic recovery rate
• The pricing of defaultable bonds under a regime-switching jump-diffusion model with stochastic default barrier
• Pricing distressed CDOs with stochastic recovery
• MODELING THE RECOVERY RATE IN A REDUCED FORM MODEL
• Pricing of Multi‐Defaultable Bonds with a Two‐Correlated‐Factor Hull–White Model
• A contagion process with self-exciting jumps in credit risk applications
• Pricing defaultable bonds with stochastic recovery under a hybrid model
• Pricing default risk in mortgage-backed securities under a regime-switching reduced-form model
• A Reduced-Form Model for Valuing Bonds with Make-Whole Call Provisions

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