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Document type:
Zeitschriftenaufsatz 
Author(s):
Biagini, F., Fink, H., and Klüppelberg, C. 
Title:
A fractional credit model with long range dependent hazard rate 
Abstract:
Motivated by empirical evidence of long range dependence in macroeconomic variables like interest rates, domestic gross products or supply and demand rates, we propose a fractional Brownian motion (fBm) driven model to describe the dynamics of the short rate in a bond market as well as the default rate for possible default. We aim at results analogous to those achieved in recent years for affine models. We start with a bivariate fractional Vasicek model (with time dependent coefficient functio...    »
 
Keywords:
credit risk, defaultable bond, default rate, derivatives pricing, fractional Brownian motion, fractional Vasicek model, hazard rate, interest rate, long range dependence, macroeconomic variables process, option pricing, prediction, short rate, Wick product 
Journal title:
Stochastic Processes and their Applications 
Year:
2013 
Journal volume:
123 
Journal issue:
Pages contribution:
1319-1347 
Reviewed:
ja 
Language:
en 
Status:
Postprint / reviewed 
TUM Institution:
Lehrstuhl für Mathematische Statistik 
Format:
Text