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On the single name CDS price under structural modeling
Date
2014-03-15
Author
GOKGOZ, I. H.
Uğur, Ömür
Okur, Y. Yolcu
Metadata
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Regulators, banks and other market participants realized that true assessment of the credit risk is more critical and complex than their ex-ante appraisals after the US Credit Crunch. They have turned their attention to complex credit risk models and credit instruments such as credit derivatives. Credit default swap contracts (CDSs) are the most common credit derivatives used for speculation and hedging purposes in the credit markets. Thus, in this paper we fundamentally study the pricing of a single name CDS via the discounted cash flow method with survival probability functions of two pioneer structural credit risk models, Merton model and Black-Cox model with constant barrier. Hence, this approach is not only a new one, but also provides a practical technique to price CDSs using publicly available data of equity returns. Crown Copyright (C) 2013 Published by Elsevier B.V. All rights reserved.
Subject Keywords
Credit risk
,
Credit crisis
,
Credit derivatives
,
Structural models
,
Credit default swap
URI
https://hdl.handle.net/11511/32376
Journal
JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS
DOI
https://doi.org/10.1016/j.cam.2013.07.052
Collections
Graduate School of Applied Mathematics, Article
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BibTeX
I. H. GOKGOZ, Ö. Uğur, and Y. Y. Okur, “On the single name CDS price under structural modeling,”
JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS
, pp. 406–412, 2014, Accessed: 00, 2020. [Online]. Available: https://hdl.handle.net/11511/32376.