Pricing constant maturity credit default swaps under jump

Henrik Jönsson and Wim Schoutens

Journal of Credit Risk

Abstract: ABSTRACT In this paper we discuss the pricing of constant-maturity credit default swaps under single-sided jump models. The constant-maturity credit default swap offers default protection in exchange for a floating premium that is periodically reset and indexed to the market spread on a credit default swap with constant-maturity tenor written on the same reference name.By setting up a firm's value model based on single-sided Lévy models we can generate dynamic spreads for the reference credit default swap. The valuation of the constant-maturity credit default swap can then easily be done by Monte Carlo simulation.

References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.risk.net/journal-of-credit-risk/216070 ... ult-swaps-under-jump (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:rsk:journ1:2160709

Access Statistics for this article

More articles in Journal of Credit Risk from Journal of Credit Risk
Bibliographic data for series maintained by Thomas Paine (maintainer@infopro-digital.com).