Pricing of defaultable bonds with log-normal spread: Development of the model and an application to Argentinean and Brazilian bonds during the Argentine crisis

In this paper we describe a two-factor model for a defaultable discount bond, assuming log-normal dynamics with bounded volatility for the instantaneous short rate spread. Under some simplified hypothesis, we obtain an explicit barrier-type solution for zero recovery and constant recovery. We also p...

Descripción completa

Guardado en:

Detalles Bibliográficos
Autor principal:	Cortina, Elsa Aurora
Publicado:	2005
Materias:	Credit risk Defaultable bonds Log-normal spread
Acceso en línea:	https://bibliotecadigital.exactas.uba.ar/collection/paper/document/paper_13806645_v8_n1_p49_DeEstrada http://hdl.handle.net/20.500.12110/paper_13806645_v8_n1_p49_DeEstrada
Aporte de:	Biblioteca Digital - Facultad de Ciencias Exactas y Naturales (UBA) de Universidad de Buenos Aires

id	paper:paper_13806645_v8_n1_p49_DeEstrada
record_format	dspace
spelling	paper:paper_13806645_v8_n1_p49_DeEstrada2023-06-08T16:12:17Z Pricing of defaultable bonds with log-normal spread: Development of the model and an application to Argentinean and Brazilian bonds during the Argentine crisis Cortina, Elsa Aurora Credit risk Defaultable bonds Log-normal spread In this paper we describe a two-factor model for a defaultable discount bond, assuming log-normal dynamics with bounded volatility for the instantaneous short rate spread. Under some simplified hypothesis, we obtain an explicit barrier-type solution for zero recovery and constant recovery. We also present a numerical application for Argentinean and Brazilian Sovereign Bonds during the default crisis of Argentina. © 2005 Springer Science + Business Media, Inc. Fil:Cortina, E. Universidad de Buenos Aires. Facultad de Ciencias Exactas y Naturales; Argentina. 2005 https://bibliotecadigital.exactas.uba.ar/collection/paper/document/paper_13806645_v8_n1_p49_DeEstrada http://hdl.handle.net/20.500.12110/paper_13806645_v8_n1_p49_DeEstrada
institution	Universidad de Buenos Aires
institution_str	I-28
repository_str	R-134
collection	Biblioteca Digital - Facultad de Ciencias Exactas y Naturales (UBA)
topic	Credit risk Defaultable bonds Log-normal spread
spellingShingle	Credit risk Defaultable bonds Log-normal spread Cortina, Elsa Aurora Pricing of defaultable bonds with log-normal spread: Development of the model and an application to Argentinean and Brazilian bonds during the Argentine crisis
topic_facet	Credit risk Defaultable bonds Log-normal spread
description	In this paper we describe a two-factor model for a defaultable discount bond, assuming log-normal dynamics with bounded volatility for the instantaneous short rate spread. Under some simplified hypothesis, we obtain an explicit barrier-type solution for zero recovery and constant recovery. We also present a numerical application for Argentinean and Brazilian Sovereign Bonds during the default crisis of Argentina. © 2005 Springer Science + Business Media, Inc.
author	Cortina, Elsa Aurora
author_facet	Cortina, Elsa Aurora
author_sort	Cortina, Elsa Aurora
title	Pricing of defaultable bonds with log-normal spread: Development of the model and an application to Argentinean and Brazilian bonds during the Argentine crisis
title_short	Pricing of defaultable bonds with log-normal spread: Development of the model and an application to Argentinean and Brazilian bonds during the Argentine crisis
title_full	Pricing of defaultable bonds with log-normal spread: Development of the model and an application to Argentinean and Brazilian bonds during the Argentine crisis
title_fullStr	Pricing of defaultable bonds with log-normal spread: Development of the model and an application to Argentinean and Brazilian bonds during the Argentine crisis
title_full_unstemmed	Pricing of defaultable bonds with log-normal spread: Development of the model and an application to Argentinean and Brazilian bonds during the Argentine crisis
title_sort	pricing of defaultable bonds with log-normal spread: development of the model and an application to argentinean and brazilian bonds during the argentine crisis
publishDate	2005
url	https://bibliotecadigital.exactas.uba.ar/collection/paper/document/paper_13806645_v8_n1_p49_DeEstrada http://hdl.handle.net/20.500.12110/paper_13806645_v8_n1_p49_DeEstrada
work_keys_str_mv	AT cortinaelsaaurora pricingofdefaultablebondswithlognormalspreaddevelopmentofthemodelandanapplicationtoargentineanandbrazilianbondsduringtheargentinecrisis
_version_	1768546552110907392

Pricing of defaultable bonds with log-normal spread: Development of the model and an application to Argentinean and Brazilian bonds during the Argentine crisis

Ejemplares similares