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...

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Detalles Bibliográficos
Autores principales: De Estrada, M.C., Cortina, E., Fontán, C.F., Fiori, J.D.
Formato: JOUR
Materias:
Credit risk
Defaultable bonds
Log-normal spread
Acceso en línea: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

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