Estimation of Credit and Default Spreads: An Application to CDO Valuation

Jaesun Noh

No 444, Econometric Society 2004 Far Eastern Meetings from Econometric Society

Abstract: Many securities are, to a certain extent, subject to credit risk in one way or another. Both the financial institutions and regulators are keen to have their credit risk exposures well managed. In order to fulfill their needs, the market for credit derivatives has become one of the fast growing securities markets in the last several years. In particular, the credit risk on a corporate balance sheet has become an important topic. Along with this growing importance of credit risk, the development of credit risk models has received much attention from both practitioners and academia. This paper addresses the impact of default rate modeling on the risk analysis and market valuation of credit derivatives products

Keywords: Default probability; Credit spreads; Kalman Filter; CIR (search for similar items in EconPapers)
JEL-codes: C22 G12 G33 (search for similar items in EconPapers)
Date: 2004-08-11
New Economics Papers: this item is included in nep-fin
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Citations: View citations in EconPapers (1)

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