Utilize este identificador para referenciar este registo: http://hdl.handle.net/10400.5/2254
Título: Term Structure Models with Shot-noise Effects
Autor: Gaspar, Raquel M.
Schmidt, Thorsten
Palavras-chave: Term Structure Models
Quadratic Term Structure Models
Shot-noise processes
Data: Jul-2007
Editora: ISEG – Departamento de Gestão
Citação: Gaspar, Raquel M. e Thorsten Schmidt. 2007. "Term Structure Models with Shot-noise Effects". Instituto Superior de Economia e Gestão – Departamento de Gestão Working papers series nº 3-2007
Relatório da Série N.º: Working papers series;nº 3-2007
Resumo: This work proposes term structure models consisting of two parts: a part which can be represented in exponential quadratic form and a shot noise part. These term structure models allow for explicit expressions of various derivatives. In particular, they are very well suited for credit risk models. The goal of the paper is twofold. First, a number of key building blocks useful in term structure modelling are derived in closed-form. Second, these building blocks are applied to single and portfolio credit risk. This approach generalizes Duffie & Garleanu (2001) and is able to produce realistic default correlation and default clustering. We conclude with a specific model where all key building blocks are computed explicitly.
URI: http://hdl.handle.net/10400.5/2254
ISSN: 0874-8470
Aparece nas colecções:DG - Documentos de trabalho / Working Papers

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