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Dokumenttyp:
Zeitschriftenaufsatz 
Autor(en):
Eifert, M. 
Titel:
Time series models for credit default swap premiums 
Abstract:
We present statistical models for the continuous-time Dynamics of credit Default swap (CDS) premium within an intensity-based credit risk modeling Framework. Based on historical daily CDS Premiums for a large set of different corporate refence entities from several developed countries, we fit continuous-time autoregressive moving-average processes of an appropriate order driven by a Lévy process. We recover the driving noise process, which only Shows a stochastic volatility effect for particular...    »
 
Stichworte:
continuous-time ARMA processes; CARMA processes; credit default swaps; intensity-based models; normal inverse Gaussian process; Ornstein-Uhlenbeck process 
Zeitschriftentitel:
Journal of Credit Risk 
Jahr:
2015 
Band / Volume:
11 
Jahr / Monat:
2015-09 
Heft / Issue:
Seitenangaben Beitrag:
21-44 
Sprache:
en 
Print-ISSN:
1744-6619 
E-ISSN:
1755-9723 
Status:
Verlagsversion / published 
TUM Einrichtung:
Lehrstuhl für Mathematische Statistik