Research Article
Year 2014,
Volume: 43 Issue: 6, 1095 - 1106, 01.12.2014
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.
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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There are 1 citations in total.
Details
| Primary Language | English |
|---|---|
| Journal Section | Statistics |
| Authors | |
| Publication Date | December 1, 2014 |
| Published in Issue | Year 2014 Volume: 43 Issue: 6 |