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

Cané de Estrada, Mariano; Cortina, Elsa AuroraIcon ; Ferro Fontan, ConstantinoIcon ; Fiori, Javier di
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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info:eu-repo/semantics/restrictedAccess Excepto donde se diga explícitamente, este item se publica bajo la siguiente descripción: Creative Commons Attribution-NonCommercial-ShareAlike 2.5 Unported (CC BY-NC-SA 2.5)
Identificadores
URI: http://hdl.handle.net/11336/113708
URL: https://link.springer.com/article/10.1007/s11147-005-1007-8
DOI: https://doi.org/10.1007/s11147-005-1007-8
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Articulos(IAM)
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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