Thesis
Structural models of credit with default contagion
- Abstract:
-
Multi-asset credit derivatives trade in huge volumes, yet no models exist that are capable of properly accounting for the spread behaviour of dependent companies. In this thesis we consider new ways of incorporating a richer and more realistic dependence structure into multi-firm models. We focus on the structural framework in which firm value is modelled as a geometric Brownian motion, with default as the first hitting time of an exponential default threshold. Specification of a dependence s...
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Bibliographic Details
- Publisher:
- University of Oxford;Mathematical Institute
- Publication date:
- 2006
Item Description
- UUID:
-
uuid:8c281f6b-b4ce-4d69-b638-12f25648616b
- Local pid:
- oai:eprints.maths.ox.ac.uk:554
- Deposit date:
- 2011-05-19
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- Copyright holder:
- Haworth, H
- Copyright date:
- 2006
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