A Simple Model for Credit Migration and Spread Curves

Li Chen () and Damir Filipovic
Additional contact information
Damir Filipovic: Princeton University

Finance from University Library of Munich, Germany

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)
Pages: 21 pages
Date: 2003-05-14
New Economics Papers: this item is included in nep-fin and nep-mfd
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.
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

Downloads: (external link)
https://econwpa.ub.uni-muenchen.de/econ-wp/fin/papers/0305/0305003.pdf (application/pdf)

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:wpa:wuwpfi:0305003

Access Statistics for this paper

More papers in Finance from University Library of Munich, Germany
Bibliographic data for series maintained by EconWPA ( this e-mail address is bad, please contact ).