A Simple Model for Credit Migration and Spread Curves

We propose and examine a simple model for credit migration and spread curves of a single firm both under real-world and risk-neutral measures. This model is a hybrid of a structural and a reduced-form 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.


Published in:
Finance and Stochastics , 9, 211-231
Year:
2005
Publisher:
Springer Verlag
ISSN:
0949-2984
Keywords:
Laboratories:




 Record created 2010-04-25, last modified 2018-03-17

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