The Term Structure of Defaultable Bond Prices

@misc{citeulike:1341790, abstract = {In this paper we present a new methodology for modelling the development of the prices of defaultable zero coupon bonds that is inspired by the Heath-Jarrow-Morton (HJM) [19] approach to risk-free interest rate modelling. Instead of precisely specifying the mechanism that triggers the default we concentrate on modelling the development of the term structure of the defaultable bonds and give conditions under which these dynamics are arbitrage-free. These conditions are a drift restriction ...}, author = {Sch\"{o}nbucher, Philipp J.}, citeulike-article-id = {1341790}, keywords = {credit, dpa, finance, risk}, posted-at = {2007-05-29 22:33:48}, priority = {3}, title = {The Term Structure of Defaultable Bond Prices}, url = {http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.1.2386} }

TY - GEN ID - citeulike:1341790 L3 - citeulike-article-id:1341790 N2 - In this paper we present a new methodology for modelling the development of the prices of defaultable zero coupon bonds that is inspired by the Heath-Jarrow-Morton (HJM) [19] approach to risk-free interest rate modelling. Instead of precisely specifying the mechanism that triggers the default we concentrate on modelling the development of the term structure of the defaultable bonds and give conditions under which these dynamics are arbitrage-free. These conditions are a drift restriction ... TI - The Term Structure of Defaultable Bond Prices KW - credit KW - dpa KW - finance KW - risk AU - Schönbucher, Philipp UR - http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.1.2386 ER -