Pregled bibliografske jedinice broj: 615212
A tractable LIBOR model with default risk
A tractable LIBOR model with default risk // Mathematics and financial economics, 7 (2013), 2; 203-227 (međunarodna recenzija, članak, znanstveni)
CROSBI ID: 615212 Za ispravke kontaktirajte CROSBI podršku putem web obrasca
Naslov
A tractable LIBOR model with default risk
Autori
Grbac, Zorana ; Papapantoleon, Antonis
Izvornik
Mathematics and financial economics (1862-9679) 7
(2013), 2;
203-227
Vrsta, podvrsta i kategorija rada
Radovi u časopisima, članak, znanstveni
Ključne riječi
LIBOR rates ; default risk ; affine processes ; affine LIBOR models ; analytically tractable models ; CDS spread ; counterparty risk
Sažetak
We develop a model for the dynamic evolution of default-free and defaultable interest rates in a LIBOR framework. Utilizing the class of affine processes, this model produces positive LIBOR rates and spreads, while the dynamics are analytically tractable under defaultable forward measures. This leads to explicit formulas for CDS spreads, while semi-analytical formulas are derived for other credit derivatives. Finally, we give an application to counterparty risk.
Izvorni jezik
Engleski
Znanstvena područja
Matematika
POVEZANOST RADA
Projekti:
MZOS-037-0372790-2799 - Analiza i vjerojatnost (Šikić, Hrvoje, MZOS ) ( CroRIS)
Ustanove:
Prirodoslovno-matematički fakultet, Matematički odjel, Zagreb
Profili:
Zorana Grbac
(autor)
Citiraj ovu publikaciju:
Časopis indeksira:
- Web of Science Core Collection (WoSCC)
- Science Citation Index Expanded (SCI-EXP)
- Social Science Citation Index (SSCI)
- SCI-EXP, SSCI i/ili A&HCI
- Scopus
