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.
| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | Ahn, Chang Mo | - |
| dc.contributor.author | Kang, Jangkoo | - |
| dc.contributor.author | Kim, Hwa-Sung | - |
| dc.date.accessioned | 2008-07-03T02:38:42Z | - |
| dc.date.available | 2008-07-03T02:38:42Z | - |
| dc.date.created | 2012-02-06 | - |
| dc.date.issued | 2003-10 | - |
| dc.identifier.citation | 한국증권학회 4차 정기학술발표회, v., no., pp.1 - 20 | - |
| dc.identifier.uri | http://hdl.handle.net/10203/5422 | - |
| dc.language | KOR | - |
| dc.language.iso | en_US | en |
| dc.publisher | 한국증권학회 | - |
| dc.title | On Additional Credit Spreads Caused by Jump Risks of the Default Rate | - |
| dc.title.alternative | This 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. | - |
| dc.type | Conference | - |
| dc.type.rims | CONF | - |
| dc.citation.beginningpage | 1 | - |
| dc.citation.endingpage | 20 | - |
| dc.citation.publicationname | 한국증권학회 4차 정기학술발표회 | - |
| dc.identifier.conferencecountry | South Korea | - |
| dc.identifier.conferencecountry | South Korea | - |
| dc.contributor.localauthor | Kang, Jangkoo | - |
| dc.contributor.nonIdAuthor | Ahn, Chang Mo | - |
| dc.contributor.nonIdAuthor | Kim, Hwa-Sung | - |
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