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dc.contributor.authorCampi, Luciano
dc.contributor.authorPolbennikov, Simon
dc.contributor.authorSbuelz, Alessandro
dc.date.accessioned2009-06-23T12:27:46Z
dc.date.available2009-06-23T12:27:46Z
dc.date.issued2009-06-23T12:27:46Z
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/409
dc.language.isoenen
dc.subjectCredit default swapsen
dc.subjectCorporate bondsen
dc.subjectMarket price of credit risken
dc.subject.ddc519en
dc.subject.classificationjelG32
dc.titleSystematic equity-based credit risk: A CEV model with jump to defaulten
dc.typeArticle accepté pour publication ou publiéen_US
dc.description.abstractenWe use equity as the traded primitive for a detailed analysis of systematic default risk. Default is parsimoniously represented by equity value hitting the zero barrier so that, unlike in reduced-form models, the explicit linkage to the firm's capital structure is preserved, but, unlike in structural models, restrictive assumptions on the structure are avoided. Default risk is either jump-like or diffusive. The equity price can jump to default. In line with recent empirical evidence on the jump-to-default risk price, we highlight how reasonable choices of the pricing kernel can imply remarkable differences in the equity-price-dependent status between the objective default intensity and the risk-neutral intensity. As equity returns experience negative diffusive shocks, their CEV-type local variance increases and boosts the objective and risk-neutral probabilities of diffusive default. A parsimonious version of our general model simultaneously enables analytical credit-risk management and analytical pricing of credit-sensitive instruments. Easy cross-asset hedging ensues.en
dc.relation.isversionofjnlnameJournal of Economic Dynamics and Control
dc.relation.isversionofjnlvol33en
dc.relation.isversionofjnlissue1en
dc.relation.isversionofjnldate2009-01
dc.relation.isversionofjnlpages93-108en
dc.relation.isversionofdoihttp://dx.doi.org/10.1016/j.jedc.2008.03.011en
dc.identifier.urlsitehttp://hal.archives-ouvertes.fr/hal-00361385/en/en
dc.description.sponsorshipprivateouien
dc.relation.isversionofjnlpublisherElsevieren
dc.subject.ddclabelProbabilités et mathématiques appliquéesen


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