Implied default probability and credit derivatives

DOI10.1007/S10690-005-6007-ZMaRDI QIDQ816767zbMATH OpenOpenAlexFDO

Authors Koichi Matsumoto

Publication date 23 February 2006

Published in Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10690-005-6007-z

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26)

Recommendations

• Credit default swaps: implied ratings versus official ones
• From bid-ask credit default swap quotes to risk-neutral default probabilities using distorted expectations
• Market implied volatilities for defaultable bonds
• Recovering portfolio default intensities implied by CDO quotes
• On a statistical analysis of implied data

Cites work

• scientific article; zbMATH DE number 1396448 (Why is no real title available?)
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• OPTION PRICING USING THE TERM STRUCTURE OF INTEREST RATES TO HEDGE SYSTEMATIC DISCONTINUITIES IN ASSET RETURNS
• Recursive valuation of defaultable securities and the timing of resolution of uncertainty
• The Market Model of Interest Rate Dynamics

Cited in

(9)

• Default propensity implicit in pulled to par V@R for bonds
• Market implied volatilities for defaultable bonds
• Credit default swaps: implied ratings versus official ones
• Default Probabilities for Mortgages
• Evaluation of credit derivatives with imperfect information
• scientific article; zbMATH DE number 5759642 (Why is no real title available?)
• On a statistical analysis of implied data
• Implied fractional hazard rates and default risk distributions
• From bid-ask credit default swap quotes to risk-neutral default probabilities using distorted expectations

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