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

DOI10.1142/S0219024914500174MaRDI QIDQ5420697zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 1869203 (Why is no real title available?)
• A theory of the term structure of interest rates
• An equilibrium characterization of the term structure
• Compressed sensing
• Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model
• Integrated OU Processes and Non‐Gaussian OU‐based Stochastic Volatility Models
• Interest rate models -- theory and practice. With smile, inflation and credit
• Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling
• Pricing interest-rate-derivative securities
• SDPT3 — A Matlab software package for semidefinite programming, Version 1.3
• Stable signal recovery from incomplete and inaccurate measurements
• Using SeDuMi 1.02, A Matlab toolbox for optimization over symmetric cones

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

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