- 期刊
An Empirical Application of Markov Model for the Term Structure of Credit Risk Spreads
並列摘要
The Markov models by Jarrow, Lando and Turnbull (JLT) (1997) and Kijima and Komoribayashi (KK) (1998) provide an important alternative for pricing financial instruments on credit risk and risk management. Albeit some extensions have already been developed, empirical analysis of JLT-KK model is less documented. This article implements the model of KK and reports empirical results. Using the credit spread term structure observed in the market, unconstrained risk premium adjustments for riskier bounds with longer maturities are shown to easily exceed the upper bounds when default-dependent recovery rates are used.
參考文獻
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