Randomized structural models of credit spreads

DOI10.1080/14697688.2010.507213MaRDI QIDQ2866361zbMATH OpenOpenAlexFDO

Authors Chuang Yi, Alexander Tchernitser, Tom Hurd

Publication date 13 December 2013

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697688.2010.507213

zbMATH Keywords

credit spreadsincomplete informationrandomized Black-Coxrandomized Mertonsolvency ratio

Mathematics Subject Classification ID

Credit risk (91G40)

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Cites work

• Credit risk models with incomplete information
• Default and information
• Stochastic Volatility Effects on Defaultable Bonds
• Term Structures of Credit Spreads with Incomplete Accounting Information

Cited in

(9)

• Tempered stable structural model in pricing credit spread and credit default swap
• Implications of implicit credit spread volatilities on interest rate modelling
• A simple model for credit migration and spread curves
• A NON-HOMOGENEOUS SEMI-MARKOV REWARD MODEL FOR THE CREDIT SPREAD COMPUTATION
• scientific article; zbMATH DE number 5521295 (Why is no real title available?)
• Modelling credit default swap spreads by means of normal mixtures and copulas
• Application of nonlinear filtering to credit risk
• Brief synopsis of the scientific career of T. R. Hurd
• On the structure of the stochastic processes of mortgages in Spain

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