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Document type:
Zeitschriftenaufsatz 
Author(s):
Schmid, B.; Zagst, R; Antes, S; el Moufatich, F. 
Non-TUM Co-author(s):
ja 
Cooperation:
Title:
Modeling and Pricing of Credit Derivatives Using Macro-Economic Information 
Abstract:
We show how to price credit default options and swaps based on a four-factor defaultable term-structure model. One of the key factors is a macroeconomic factor that takes into account the impact of the general economy on the quality of firms. We derive the pricing functions and show how to calibrate the model to market prices. Basically, we need three pieces of information: the actual non-defaultable, the defaultable, and the zero-recovery defaultable term structure. The first two pieces can be...    »
 
Intellectual Contribution:
Discipline-based Research 
Journal title:
Journal of Financial Transformation 
Year:
2009 
Journal volume:
26 
Pages contribution:
60-68 
Language:
en 
Format:
Text 
Key publication:
Nein 
Peer reviewed:
Ja 
International:
Ja 
Book review:
Nein 
Commissioned:
not commissioned 
Professional Journal:
Nein 
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