IDEAS home Printed from https://ideas.repec.org/a/spr/finsto/v9y2005i2p211-231.html
   My bibliography  Save this article

A simple model for credit migration and spread curves

Author

Listed:
  • Li Chen
  • Damir Filipović

Abstract

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. Copyright Springer-Verlag Berlin/Heidelberg 2005

Suggested Citation

  • Li Chen & Damir Filipović, 2005. "A simple model for credit migration and spread curves," Finance and Stochastics, Springer, vol. 9(2), pages 211-231, April.
    • Handle: RePEc:spr:finsto:v:9:y:2005:i:2:p:211-231
    DOI: 10.1007/s00780-004-0140-9
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1007/s00780-004-0140-9
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1007/s00780-004-0140-9?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Peter Carr & Vadim Linetsky, 2006. "A jump to default extended CEV model: an application of Bessel processes," Finance and Stochastics, Springer, vol. 10(3), pages 303-330, September.
    2. Thomas Krabichler & Josef Teichmann, 2020. "The Jarrow & Turnbull setting revisited," Papers 2004.12392, arXiv.org.
    3. Kallsen, Jan & Muhle-Karbe, Johannes, 2010. "Exponentially affine martingales, affine measure changes and exponential moments of affine processes," Stochastic Processes and their Applications, Elsevier, vol. 120(2), pages 163-181, February.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:finsto:v:9:y:2005:i:2:p:211-231. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.