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A revised version of the Cathcart & El-Jahel model and its application to CDS market
The paper considers the pricing of credit default swaps (CDSs) using a revised version of the credit risk model proposed in Cathcart and El-Jahel (2003). Default occurs either the first time a signaling process breaches a threshold barrier or unexpectedly at the first jump of a Cox process. The inte...
| Autores principales: | , , , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Springer International Publishing
2021
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| Materias: | |
| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8346788/ http://dx.doi.org/10.1007/s10203-021-00350-x |