Skip to main content
Article thumbnail
Location of Repository

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

By Li Chen and Damir Filipović

Abstract

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
OAI identifier: oai:CiteSeerX.psu:10.1.1.197.3224
Provided by: CiteSeerX
Download PDF:
Sorry, we are unable to provide the full text but you may find it at the following location(s):
  • http://citeseerx.ist.psu.edu/v... (external link)
  • http://econwpa.wustl.edu:80/ep... (external link)
  • Suggested articles


    To submit an update or takedown request for this paper, please submit an Update/Correction/Removal Request.