Term structure models with shot-noise effects
Autor(a) principal: | |
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Data de Publicação: | 2007 |
Outros Autores: | |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/10400.5/1204 |
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. |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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7160 |
spelling |
Term structure models with shot-noise effectsTerm Structure ModelsQuadratic Term Structure ModelsShot-Noise ProcessesThis 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.ISEG – Departamento de GestãoRepositório da Universidade de LisboaGaspar, Raquel M.Schmidt, Thorsten2009-08-11T14:21:44Z2007-072007-07-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.5/1204engGaspar, 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 3-07.0874-8470info:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-03-06T14:32:29Zoai:www.repository.utl.pt:10400.5/1204Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T16:49:23.649132Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse |
dc.title.none.fl_str_mv |
Term structure models with shot-noise effects |
title |
Term structure models with shot-noise effects |
spellingShingle |
Term structure models with shot-noise effects Gaspar, Raquel M. Term Structure Models Quadratic Term Structure Models Shot-Noise Processes |
title_short |
Term structure models with shot-noise effects |
title_full |
Term structure models with shot-noise effects |
title_fullStr |
Term structure models with shot-noise effects |
title_full_unstemmed |
Term structure models with shot-noise effects |
title_sort |
Term structure models with shot-noise effects |
author |
Gaspar, Raquel M. |
author_facet |
Gaspar, Raquel M. Schmidt, Thorsten |
author_role |
author |
author2 |
Schmidt, Thorsten |
author2_role |
author |
dc.contributor.none.fl_str_mv |
Repositório da Universidade de Lisboa |
dc.contributor.author.fl_str_mv |
Gaspar, Raquel M. Schmidt, Thorsten |
dc.subject.por.fl_str_mv |
Term Structure Models Quadratic Term Structure Models Shot-Noise Processes |
topic |
Term Structure Models Quadratic Term Structure Models Shot-Noise Processes |
description |
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. |
publishDate |
2007 |
dc.date.none.fl_str_mv |
2007-07 2007-07-01T00:00:00Z 2009-08-11T14:21:44Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10400.5/1204 |
url |
http://hdl.handle.net/10400.5/1204 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
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 3-07. 0874-8470 |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.publisher.none.fl_str_mv |
ISEG – Departamento de Gestão |
publisher.none.fl_str_mv |
ISEG – Departamento de Gestão |
dc.source.none.fl_str_mv |
reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação instacron:RCAAP |
instname_str |
Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
instacron_str |
RCAAP |
institution |
RCAAP |
reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
collection |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
repository.name.fl_str_mv |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
repository.mail.fl_str_mv |
|
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1799130967633297408 |