Credit spreads in a reduced-form approach with jump risks
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Publication:5456323
zbMATH Open1174.62549MaRDI QIDQ5456323FDOQ5456323
Authors: Guohe Deng, Xiangqun Yang 
Publication date: 4 April 2008
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- Randomized structural models of credit spreads
- Credit spreads, endogenous bankruptcy and liquidity risk
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- Pricing defaultable bonds: a middle-way approach between structural and reduced-form models
- Jump Diffusion Models for Risky Debts: Quality Spread Differentials
- CREDIT RISK PREMIA AND QUADRATIC BSDEs WITH A SINGLE JUMP
- CREDIT SPREADS, OPTIMAL CAPITAL STRUCTURE, AND IMPLIED VOLATILITY WITH ENDOGENOUS DEFAULT AND JUMP RISK
- A spread-return mean-reverting model for credit spread dynamics
- On the conditional default probability in a regulated market with jump risk
- On the simulation of portfolios of interest rate and credit risk sensitive securities
- An Integral-Equation Approach for Defaultable Bond Prices with Application to Credit Spreads
- Unifying discrete structural models and reduced-form models in credit risk using a jump-diffusion process.
- Term structure of credit spreads with learning and anticipation effects
- A Spread-Based Model for the Valuation of Credit Derivatives with Correlated Defaults and Counter-Party Risks
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