Journal of Credit Risk
ISSN:
1744-6619 (print)
1755-9723 (online)
Editor-in-chief: Linda Allen and Jens Hilscher
Break on through to the single side
Dilip B. Madan, Wim Schoutens
Abstract
ABSTRACT
We employ a Lévy process subject to only negative jumps to describe the motion of asset values. This specification permits fast computation of first-passage probabilities. As a result, we are able to calibrate all credit default swap (CDS) curves for the 125 iTraxx underliers weekly and develop a time series for the implied parameter values. A variety of models are investigated for the process: gamma, inverse Gaussian and the one-sided CGMY, here referred to as CMY.
Copyright Infopro Digital Limited. All rights reserved.
As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (point 2.4), printing is limited to a single copy.
If you would like to purchase additional rights please email info@risk.net
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (clause 2.4), an Authorised User may only make one copy of the materials for their own personal use. You must also comply with the restrictions in clause 2.5.
If you would like to purchase additional rights please email info@risk.net
