Finite-time survival probability and credit default swaps pricing under geometric Levy markets

被引：9
|
作者：
Hao, Xuemiao [1 ]
Li, Xuan [2 ]
Shimizu, Yasutaka [3 ,4 ]
机构：
[1] Univ Manitoba, Asper Sch Business, Winnipeg, MB R3T 5V4, Canada
[2] Univ Minnesota, Dept Math & Stat, Duluth, MN 55812 USA
[3] Osaka Univ, Grad Sch Engn Sci, Toyonaka, Osaka 5608531, Japan
[4] Japan Sci & Technol Agcy, CREST, Chiyoda Ku, Tokyo 1020075, Japan
来源：
INSURANCE MATHEMATICS & ECONOMICS | 2013年 / 53卷 / 01期
基金：
加拿大自然科学与工程研究理事会;
关键词：
Credit default swap; Finite-time survival probability; First-passage time; Levy process; Structural model; OPTIMAL CAPITAL STRUCTURE; JUMP-DIFFUSION-MODEL; ENDOGENOUS DEFAULT; DISTRIBUTIONS; SPREADS; RISK;
D O I：
10.1016/j.insmatheco.2013.04.003
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
We study the first-passage time over a fixed threshold for a pure-jump subordinator with negative drift. We obtain a closed-form formula for its survival function in terms of marginal density functions of the subordinator. We then use this formula to calculate finite-time survival probabilities in a structural model for credit risk, and thus obtain a closed-form pricing formula for a single-name credit default swap (CDS). This pricing formula is well calibrated on market CDS quotes. In particular, it explains why the par CDS credit spread is not negligible when the maturity becomes short. (C) 2013 Elsevier B.V. All rights reserved.
引用
收藏
页码：14 / 23
页数：10
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