An application to credit risk of a hybrid Monte Carlo-Optimal quantization method

Abstract : In this paper we use a hybrid Monte Carlo-Optimal quantization method to approximate the conditional survival probabilities of a firm, given a structural model for its credit defaul, under partial information. We consider the case when the firm's value is a non-observable stochastic process $(V_t)_{t \geq 0}$ and inverstors in the market have access to a process $(S_t)_{t \geq 0}$, whose value at each time t is related to $(V_s, s \leq t)$. We are interested in the computation of the conditional survival probabilities of the firm given the "investor information". As a application, we analyse the shape of the credit spread curve for zero coupon bonds in two examples.
Keywords :
Type de document :
Pré-publication, Document de travail
22 pages. 2009
Domaine :

Littérature citée [21 références]

https://hal.archives-ouvertes.fr/hal-00400666
Contributeur : Abass Sagna <>
Soumis le : vendredi 3 juillet 2009 - 16:22:09
Dernière modification le : mercredi 21 mars 2018 - 18:56:47
Document(s) archivé(s) le : mardi 15 juin 2010 - 19:13:26

Fichiers

SurProbaHybJCF.pdf
Fichiers produits par l'(les) auteur(s)

Identifiants

• HAL Id : hal-00400666, version 1
• ARXIV : 0907.0645

Citation

Giorgia Callegaro, Abass Sagna. An application to credit risk of a hybrid Monte Carlo-Optimal quantization method. 22 pages. 2009. 〈hal-00400666〉

Métriques

Consultations de la notice

324

Téléchargements de fichiers