A Simple Model for Credit Migration and Spread Curves

Li Chen and Damir Filipovic
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Damir Filipovic: Princeton University

Finance from EconWPA

Abstract: We propose and examine a simple model for credit migration and spread curves of a single firm both under the real-world and the risk-neutral measure. 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.

Keywords: Credit Risk Modeling; Credit Migration; Structural Models; Intensity Based Models; Affine Processes (search for similar items in EconPapers)
JEL-codes: G13 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-fin and nep-mfd
Date: 2003-05-14
Note: Type of Document - pdf; prepared on IBM PC - PC-TEX/UNIX Sparc TeX; to print on HP/PostScript/Franciscan monk; pages: 21 ; figures: included. We never published this piece and now we would like to reduce our mailing and xerox cost by posting it.
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Persistent link: http://EconPapers.repec.org/RePEc:wpa:wuwpfi:0305003

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