Modelling bonds and credit default swaps using a structural model with contagion
This paper develops a two-dimensional structural framework for valuing credit default swaps and corporate bonds in the presence of default contagion. Modelling the values of related firms as correlated geometric Brownian motions with exponential default barriers, analytical formulae are obtained for...
| Main Authors: | , , |
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| Format: | Journal article |
| Published: |
2006
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