Skip to Main content Skip to Navigation
Preprints, Working Papers, ...

Defaultable bond pricing using regime switching intensity model

Abstract : We give two different formulas to evaluate the conditional Laplace transform of a regime switching Cox Ingersoll Ross model. One using the property of semi-affine of this model and the other one using analytic approximation. Then we study the pricing of bonds issued by two firms considering the default and the correlation risk. In fact, we consider two firms with correlated default times and we obtain numerical formula for the bonds prices considering the regime switching market credit notations and the correlation between the two firms. Finally we give some numerical illustrations.
Document type :
Preprints, Working Papers, ...
Complete list of metadata

Cited literature [23 references]  Display  Hide  Download
Contributor : Stéphane Goutte <>
Submitted on : Thursday, September 6, 2012 - 10:38:37 AM
Last modification on : Thursday, December 10, 2020 - 10:56:41 AM


Files produced by the author(s)


  • HAL Id : hal-00625683, version 2


Stéphane Goutte, Armand Ngoupeyou. Defaultable bond pricing using regime switching intensity model. 2011. ⟨hal-00625683v2⟩



Record views


Files downloads