Jump-diffusion CIR model and its applications in credit risk

Yongfeng Wu

EN

Jump-diffusion CIR model and its applications in credit risk

Abstract

In this paper, the author discusses the distribution of the jump-diffusion CIR model (JCIR) and its applications in credit risk. Applying the piecewise deterministic Markov process theory and martingale theory, we first obtain the closed forms of the Laplace transforms for the distribution of the jump-diffusion CIR model and its integrated process. Based on the obtained Laplace transforms, we derive the pricing of the defaultable zero-coupon bond and the fair premium of a Credit Default Swap (CDS) in a reduced form model of credit risk. Some numerical calculations are also provided.

Keywords

jump-diffusion CIR model,reduced form model of credit risk,Laplace transform,defaultable zero-coupon bond,Credit Default Swap

References

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Details

Primary Language

English

Subjects

-

Journal Section

Research Article

Authors

Yongfeng Wu ^* This is me
China

Publication Date

December 1, 2014

Submission Date

September 6, 2013

Acceptance Date

January 31, 2014

Published in Issue

Year 2014 Volume: 43 Number: 6

IZ

https://izlik.org/JA84AH64RH

Cite

RIS / Bibtex

APA

Wu, Y. (2014). Jump-diffusion CIR model and its applications in credit risk. Hacettepe Journal of Mathematics and Statistics, 43(6), 1095-1106. https://izlik.org/JA84AH64RH

AMA

1.Wu Y. Jump-diffusion CIR model and its applications in credit risk. Hacettepe Journal of Mathematics and Statistics. 2014;43(6):1095-1106. https://izlik.org/JA84AH64RH

Chicago

Wu, Yongfeng. 2014. “Jump-Diffusion CIR Model and Its Applications in Credit Risk”. Hacettepe Journal of Mathematics and Statistics 43 (6): 1095-1106. https://izlik.org/JA84AH64RH.

EndNote

Wu Y (December 1, 2014) Jump-diffusion CIR model and its applications in credit risk. Hacettepe Journal of Mathematics and Statistics 43 6 1095–1106.

IEEE

[1]Y. Wu, “Jump-diffusion CIR model and its applications in credit risk”, Hacettepe Journal of Mathematics and Statistics, vol. 43, no. 6, pp. 1095–1106, Dec. 2014, [Online]. Available: https://izlik.org/JA84AH64RH

ISNAD

Wu, Yongfeng. “Jump-Diffusion CIR Model and Its Applications in Credit Risk”. Hacettepe Journal of Mathematics and Statistics 43/6 (December 1, 2014): 1095-1106. https://izlik.org/JA84AH64RH.

JAMA

1.Wu Y. Jump-diffusion CIR model and its applications in credit risk. Hacettepe Journal of Mathematics and Statistics. 2014;43:1095–1106.

MLA

Wu, Yongfeng. “Jump-Diffusion CIR Model and Its Applications in Credit Risk”. Hacettepe Journal of Mathematics and Statistics, vol. 43, no. 6, Dec. 2014, pp. 1095-06, https://izlik.org/JA84AH64RH.

Vancouver

1.Yongfeng Wu. Jump-diffusion CIR model and its applications in credit risk. Hacettepe Journal of Mathematics and Statistics [Internet]. 2014 Dec. 1;43(6):1095-106. Available from: https://izlik.org/JA84AH64RH