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Document type:
Zeitschriftenaufsatz 
Author(s):
Schmid, B.; Zagst, R. 
Non-TUM Co-author(s):
ja 
Cooperation:
Title:
A Three-Factor Defaultable Term Structure Model 
Abstract:
This article develops a three factor defaultable term structure model for the pricing of a wide range of risky debt contracts and derivatives which combines structural and reduced-form models. One of the factors that determine the credit spread is the so-called uncertainty process which can be understood as an aggregation of all information on the quality of the firm currently available. We assume the underlying short rate to follow either a mean-reverting Hull-White process or a mean-reverting...    »
 
Intellectual Contribution:
Discipline-based Research 
Journal title:
The Journal of Fixed Income 
Year:
2000 
Journal volume:
10 
Journal issue:
Pages contribution:
63-79 
Language:
en 
Key publication:
Nein 
Peer reviewed:
Ja 
International:
Ja 
Book review:
Nein 
Commissioned:
not commissioned 
Professional Journal:
Nein 
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