 Generic
Number - 1465 |
| References
- 0 |
| Written
Date -
September 18th, 13 |
| Modified
Date -
September 18th, 13 |
| Downloaded
Counts - 1153 |
| Visited
Counts - 659 |
| |
| Original
File |
|
|
|
| Summary |
In this paper, we are interested in finding explicit numerical formulas to evaluate
defaultable bonds prices of firms. For this purpose, we use a default intensity
whose values depend on the credit rating of these firms. Each credit rating
corresponds to a state of the default intensity. Then, this regime switches as soon
as one of the credit rating of a firm also changes. Moreover, this regime switching
default intensity model allows us to capture well some market features or economics
behaviors. Thus, we obtain two explicit different formulas to evaluate the conditional
Laplace transform of a regime switching Cox Ingersoll Ross model. One using the
property of semi-affine of the model and the other one using analytic approximation.
We conclude by giving some numerical illustrations of these formulas and real data
estimation results. |
|
Defaultable bond pricing using regime switching intensity model
