A SPREAD-RETURN MEAN-REVERTING MODEL FOR CREDIT SPREAD DYNAMICS
DOI10.1142/S0219024914500174zbMath1293.91185MaRDI QIDQ5420697
Matthew J. M. Peacock, Brendan O'Donoghue, Luca Capriotti, Jacky Lee
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
heavy tails; credit risk; risk management; model fitting; credit default swaps; return autocorrelation
62P05: Applications of statistics to actuarial sciences and financial mathematics
91G20: Derivative securities (option pricing, hedging, etc.)
60J70: Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.)
60K30: Applications of queueing theory (congestion, allocation, storage, traffic, etc.)
91G40: Credit risk
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