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 metadatas

Cited literature [23 references]  Display  Hide  Download

https://hal.archives-ouvertes.fr/hal-00625683
Contributor : Stéphane Goutte <>
Submitted on : Thursday, September 6, 2012 - 10:38:37 AM
Last modification on : Tuesday, May 14, 2019 - 10:59:20 AM

File

GN_Bond_RS.pdf
Files produced by the author(s)

Identifiers

  • HAL Id : hal-00625683, version 2

Citation

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

Share

Metrics

Record views

290

Files downloads

436