Abstract. In this paper we use a discrete time non-homogeneous semi-Markov model for the rating evolution of the credit quality of a firm C and we determine the credit default swap spread for a contract between two parties, A and B that, respectively, sell and buy a protection about the failure of the firm C. We work in both the case of deterministic and stochastic recovery rate. We highlight the link between credit risk and reliability theory too.
Valuing credit default swap in a non-homogeneous semi-Markovian rating based models / D'Amico, G; DE MEDICI, Giovanna; Janssen, J.. - ELETTRONICO. - (2005), pp. 942-949. (Intervento presentato al convegno Applied Stochastic Models and Data Analysis tenutosi a Brest nel Maggio 2005).
Valuing credit default swap in a non-homogeneous semi-Markovian rating based models
DE MEDICI, Giovanna;
2005
Abstract
Abstract. In this paper we use a discrete time non-homogeneous semi-Markov model for the rating evolution of the credit quality of a firm C and we determine the credit default swap spread for a contract between two parties, A and B that, respectively, sell and buy a protection about the failure of the firm C. We work in both the case of deterministic and stochastic recovery rate. We highlight the link between credit risk and reliability theory too.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.