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Dokumenttyp:
Zeitschriftenaufsatz 
Autor(en):
Schmid, B.; Zagst, R. 
Nicht-TUM Koautoren:
ja 
Kooperation:
Titel:
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 
Zeitschriftentitel:
The Journal of Fixed Income 
Jahr:
2000 
Band / Volume:
10 
Heft / Issue:
Seitenangaben Beitrag:
63-79 
Sprache:
en 
Key publication:
Nein 
Peer reviewed:
Ja 
International:
Ja 
Book review:
Nein 
commissioned:
not commissioned 
Professional Journal:
Nein