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Titel:

Time series models for credit default swap premiums

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
Eifert, M.
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:
3
Seitenangaben Beitrag:
21-44
Sprache:
en
Volltext / DOI:
doi:10.21314/JCR.2015.197
Print-ISSN:
1744-6619
E-ISSN:
1755-9723
Status:
Verlagsversion / published
TUM Einrichtung:
Lehrstuhl für Mathematische Statistik
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