A spread-return mean-reverting model for credit spread dynamics

DOI10.1142/S0219024914500174zbMATH Open1293.91185OpenAlexW3124651398MaRDI QIDQ5420697FDOQ5420697

Authors: Brendan O'Donoghue, Matthew J. M. Peacock, Jacky Lee, Luca Capriotti 

Publication date: 13 June 2014

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024914500174

Recommendations

• On pricing of credit spread options
• Credit spreads in a reduced-form approach with jump risks
• Market Models of Forward CDS Spreads
• Modeling the dynamics of credit spreads with stochastic volatility
• Pricing CDO tranches in an intensity based model with the mean reversion approach

zbMATH Keywords

heavy tailsrisk managementcredit riskmodel fittingcredit default swapsreturn autocorrelation

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of queueing theory (congestion, allocation, storage, traffic, etc.) (60K30) Credit risk (91G40)

Cites Work

• SDPT3 — A Matlab software package for semidefinite programming, Version 1.3
• Using SeDuMi 1.02, A Matlab toolbox for optimization over symmetric cones
• A theory of the term structure of interest rates
• Title not available (Why is that?)
• An equilibrium characterization of the term structure
• Pricing interest-rate-derivative securities
• Stable signal recovery from incomplete and inaccurate measurements
• Compressed sensing
• Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model
• Interest rate models -- theory and practice. With smile, inflation and credit
• Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling
• Integrated OU Processes and Non‐Gaussian OU‐based Stochastic Volatility Models

Cited In (10)

• Randomized structural models of credit spreads
• Modeling the dynamics of credit spreads with stochastic volatility
• Forecasting credit losses with the reversal in credit spreads
• The determinants of CDS spreads: evidence from the model space
• A NON-HOMOGENEOUS SEMI-MARKOV REWARD MODEL FOR THE CREDIT SPREAD COMPUTATION
• CDS returns
• A simple model for credit migration and spread curves
• A model of returns for the post-credit-crunch reality: hybrid Brownian motion with price feedback
• Pricing sovereign contingent convertible debt
• Implications of implicit credit spread volatilities on interest rate modelling

This page was built for publication: A spread-return mean-reverting model for credit spread dynamics

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5420697)