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A simple model for credit migration and spread curves. Finance and Stochastics

By Li Chen and Damir Filipović


We propose and examine a simple model for credit migration and spread curves of a single firm both under the real-world and the riskneutral measure. This model is a hybrid of a structural and a reducedform model. Default is triggered either by successive downgradings of the firm or an unpredictable jump of the state process. The default time is accordingly decomposed into predictable and totally inaccessible part.

Year: 2005
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