A simple model for credit migration and spread curves

Li Chen () and Damir Filipović ()

Finance and Stochastics, 2005, vol. 9, issue 2, 231 pages

Abstract: We propose and examine a simple model for credit migration and spread curves of a single firm both under real-world and risk-neutral measures. 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. Copyright Springer-Verlag Berlin/Heidelberg 2005

Keywords: Credit risk model; affine process; equivalent change of measure (search for similar items in EconPapers)
Date: 2005
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DOI: 10.1007/s00780-004-0140-9

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