Artículo
Pricing of Defaultable Bonds with Log-Normal Spread: Development of the Model and an Application to Argentinean and Brazilian Bonds During the Argentine Crisis
Fecha de publicación:
06/2005
Editorial:
Springer
Revista:
Review of Derivatives Research
ISSN:
1380-6645
Idioma:
Inglés
Tipo de recurso:
Artículo publicado
Clasificación temática:
Resumen
In this paper we describe a two-factor model for a defaultable discount bond, assuming log-normal dynamics with bounded volatility for the instantaneous short rate spread. Under some simplified hypothesis, we obtain an explicit barrier-type solution for zero recovery and constant recovery. We also present a numerical application for Argentinean and Brazilian Sovereign Bonds during the default crisis of Argentina.
Palabras clave:
CREDIT RISK
,
DEFAULTABLE BONDS
,
LOG-NORMAL SPREAD
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Identificadores
Colecciones
Articulos(IAM)
Articulos de INST.ARG.DE MATEMATICAS "ALBERTO CALDERON"
Articulos de INST.ARG.DE MATEMATICAS "ALBERTO CALDERON"
Citación
Cané de Estrada, Mariano; Cortina, Elsa Aurora; Ferro Fontan, Constantino; Fiori, Javier di; Pricing of Defaultable Bonds with Log-Normal Spread: Development of the Model and an Application to Argentinean and Brazilian Bonds During the Argentine Crisis; Springer; Review of Derivatives Research; 8; 1; 6-2005; 49-60
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