On Additional Credit Spreads Caused by Jump Risks of the Default RateThis paper studies credit spreads when the default intensity is affected by jump risks. A simple pricing model of risky bonds is derived using a reduced-form approach when there are jump risks of the factors of the default intensity, as supported by empirical evidence. Numerical analyses show that the additional credit spreads caused by jumps can be significant.

Publisher
한국증권학회
Issue Date
2003-10
Language
KOR
Citation

한국증권학회 4차 정기학술발표회, pp.1 - 20

URI
http://hdl.handle.net/10203/5422
Appears in Collection
MT-Conference Papers(학술회의논문)
Files in This Item
2003-078.pdf(196.21 kB)Download
  • Hit : 366
  • Download : 196
  • Cited 0 times in thomson ci

qr_code

  • mendeley

    citeulike


rss_1.0 rss_2.0 atom_1.0