Term structure modelling of defaultable bonds

1998 ◽  
Vol 2 (2-3) ◽  
pp. 161-192 ◽  
Author(s):  
Philipp J. Sch�nbucher
Keyword(s):  
Term Structure ◽  
Defaultable Bonds

scholarly journals Multiscale Analysis on the Pricing of Intensity-Based Defaultable Bonds

2013 ◽  
Vol 2013 ◽  
pp. 1-9
Author(s):  
Sun-Hwa Cho ◽  
Jeong-Hoon Kim ◽  
Yong-Ki Ma
Keyword(s):  
Interest Rate ◽  
Term Structure ◽  
Multiscale Analysis ◽  
Slow Time ◽  
Bond Price ◽  
Constant Intensity ◽  
Interest Rate Derivatives ◽  
Default Intensity ◽  
Defaultable Bonds ◽  
The Impact

This paper studies the pricing of intensity-based defaultable bonds where the volatility of default intensity is assumed to be random and driven by two different factors varying on fast and slow time scales. Corrections to the constant intensity of default are obtained and then how these corrections influence the term structure of interest rate derivatives is shown. The results indicate that the fast scale correction produces a more significant impact on the bond price than the slow scale correction and the impact tends to increase as time to maturity increases.

The Term Structure of Equity Risk: An Empirical Analysis

CFA Digest ◽  
1997 ◽  
Vol 27 (1) ◽  
pp. 56-57
Author(s):  
H. Kent Baker
Keyword(s):  
Empirical Analysis ◽  
Term Structure ◽  
Equity Risk

The signalling properties of the shape of the credit default swap term structure

2015 ◽  
Vol 17 (4) ◽  
pp. 71-99 ◽  
Author(s):  
Jenny Castellanos ◽  
Nick Constantinou ◽  
Wing Lon Ng
Keyword(s):  
Term Structure ◽  
Credit Default Swap ◽  
Credit Default ◽  
Default Swap

The Term Structure of Bond Market Liquidity

2008 ◽  
Author(s):  
Ruslan Goyenko ◽  
Avanidhar Subrahmanyam ◽  
Andrey Ukhov
Keyword(s):  
Term Structure ◽  
Bond Market ◽  
Market Liquidity
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