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- catalog abstract "This paper develops a framework for modeling risky debt and valuing credit derivatives that is flexible and simple to implement, and that is, to the maximum extent possible, based on observables. Our approach is based on expanding the Heath-Jarrow-Morton term-structure model to allow for defaultable debt. We do not follow the procedure of implying out the behavior of spreads from assumptions concerning the default process, instead working directly with the evolution of spreads. We show that risk-neutral drifts in the resulting model possess a recursive representation that particularly facilitates implementation and makes it possible to handle path-dependence and early excise features without difficulty. The framework permits embedding a variety of specifications for default; we present an empirical example of a default structure which provides promising calibration results.".
- catalog contributor b11046495.
- catalog contributor b11046496.
- catalog contributor b11046497.
- catalog created "c1998.".
- catalog date "1998".
- catalog date "c1998.".
- catalog dateCopyrighted "c1998.".
- catalog description "Includes bibliographical references (p. 23-25).".
- catalog description "This paper develops a framework for modeling risky debt and valuing credit derivatives that is flexible and simple to implement, and that is, to the maximum extent possible, based on observables. Our approach is based on expanding the Heath-Jarrow-Morton term-structure model to allow for defaultable debt. We do not follow the procedure of implying out the behavior of spreads from assumptions concerning the default process, instead working directly with the evolution of spreads. We show that risk-neutral drifts in the resulting model possess a recursive representation that particularly facilitates implementation and makes it possible to handle path-dependence and early excise features without difficulty. The framework permits embedding a variety of specifications for default; we present an empirical example of a default structure which provides promising calibration results.".
- catalog extent "25 p. :".
- catalog isPartOf "Working paper (Harvard University. Graduate School of Business Administration. Division of Research) ; 99-071.".
- catalog isPartOf "Working paper / Division of Research, Harvard Business School ; 99-071".
- catalog issued "1998".
- catalog issued "c1998.".
- catalog language "eng".
- catalog publisher "[Boston] : Division of Research, Harvard Business School,".
- catalog title "A direct approach to arbitrage-free pricing of credit derivatives / Sanjiv R. Das and Rangarajan K. Sundaram.".
- catalog type "text".