Do Financial Market Developments Influence Accounting Practices? Credit Default Swaps and Borrowers’ Reporting Conservatism

2011 ◽  
Author(s):  
Guojin Gong ◽  
Xiumin Martin ◽  
Sugata Roychowdhury
Keyword(s):  
Financial Market ◽  
Credit Default Swaps ◽  
Credit Default

CREDIT DEFAULT SWAPS IN TWO-DIMENSIONAL MODELS WITH VARIOUS INFORMATIONS FLOWS

2020 ◽  
Vol 23 (02) ◽  
pp. 2050010
Author(s):  
PAVEL V. GAPEEV ◽  
MONIQUE JEANBLANC
Keyword(s):  
Financial Market ◽  
Risk Model ◽  
Credit Default Swaps ◽  
Linear Combinations ◽  
Brownian Motions ◽  
No Arbitrage ◽  
Default Intensity ◽  
Credit Default ◽  
Geometric Brownian Motions ◽  
Credit Risk Model

We study a credit risk model of a financial market in which the dynamics of intensity rates of two default times are described by linear combinations of three independent geometric Brownian motions. The dynamics of two default-free risky asset prices are modeled by two geometric Brownian motions which are dependent of the ones describing the default intensity rates. We obtain closed form expressions for the no-arbitrage prices of both risk-free and risky credit default swaps given the reference filtration initially and progressively enlarged by the two default times. The accessible default-free reference filtration is generated by the standard Brownian motions driving the model.

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