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Journal article

Modelling bonds and credit default swaps using a structural model with contagion

Abstract:

This paper develops a two-dimensional structural framework for valuing credit default swaps and corporate bonds in the presence of default contagion. Modelling the values of related firms as correlated geometric Brownian motions with exponential default barriers, analytical formulae are obtained for both credit default swap spreads and corporate bond yields. The credit dependence structure is influenced by both a longer-term correlation structure as well as by the possibility of default conta...

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Publication status:
Published

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Publisher copy:
10.1080/14697680701834614

Authors


Haworth, H More by this author
Reisinger, C More by this author
Publication date:
2008
DOI:
EISSN:
1469-7696
ISSN:
1469-7688
URN:
uuid:a50659ac-6fd0-4305-845f-c90459d99c94
Source identifiers:
31298
Local pid:
pubs:31298

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