Bibliografie tematiche / Jarrow-Turnbull model

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Letteratura scientifica selezionata sul tema "Jarrow-Turnbull model"

Autore: Grafiati
Pubblicato: 4 giugno 2021
Ultima modifica: 10 febbraio 2022

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Articoli di riviste sul tema "Jarrow-Turnbull model"

1

Zhang, Qiang, e Min Wu. "Credit Risk Mitigation Based on Jarrow-Turnbull Model". Systems Engineering Procedia 2 (2011): 49–59. http://dx.doi.org/10.1016/j.sepro.2011.10.007.

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2

Frühwirth, Manfred, e Leopold Sögner. "The Jarrow/Turnbull default risk model—Evidence from the German market". European Journal of Finance 12, n. 2 (febbraio 2006): 107–35. http://dx.doi.org/10.1080/13518470500145969.

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3

Friesenegger, Alexander, Andreas W. Rathgeber e Stefan Stöckl. "Recovery Rate in the Event of an Issuer’s Insolvency — Empirical Study on Implications for the Pricing of Credit Default Risks in German Corporate Bonds". Review of Pacific Basin Financial Markets and Policies 18, n. 04 (dicembre 2015): 1550023. http://dx.doi.org/10.1142/s021909151550023x.

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Abstract (sommario):
According to the Jarrow–Turnbull model, coupon bonds are valuated as a portfolio of zero-coupon bonds that, in the event of insolvency, pay a recovery rate at the end of their term. However, when it comes to valuations, the German insolvency law differs in certain respects. To find out whether a model adapted to the German insolvency law will prove to be more empirically robust, an empirical study of 103 corporate bonds was carried out over more than 800 trading days.
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4

Liu, Jian, Jihong Xiao, Lizhao Yan e Fenghua Wen. "Valuing Catastrophe Bonds Involving Credit Risks". Mathematical Problems in Engineering 2014 (2014): 1–6. http://dx.doi.org/10.1155/2014/563086.

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Catastrophe bonds are the most important products in catastrophe risk securitization market. For the operating mechanism, CAT bonds may have a credit risk, so in this paper we consider the influence of the credit risk on CAT bonds pricing that is different from the other literature. We employ the Jarrow and Turnbull method to model the credit risks and get access to the general pricing formula using the Extreme Value Theory. Furthermore, we present an empirical pricing study of the Property Claim Services data, where the parameters in the loss function distribution are estimated by the MLE method and the default probabilities are deduced by the US financial market data. Then we get the catastrophe bonds value by the Monte Carlo method.
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HOOGLAND, J. K., C. D. D. NEUMANN e M. H. VELLEKOOP. "SYMMETRIES IN JUMP-DIFFUSION MODELS WITH APPLICATIONS IN OPTION PRICING AND CREDIT RISK". International Journal of Theoretical and Applied Finance 06, n. 02 (marzo 2003): 135–72. http://dx.doi.org/10.1142/s0219024903001803.

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Abstract (sommario):
It is a well known fact that local scale invariance plays a fundamental role in the theory of derivative pricing. Specific applications of this principle have been used quite often under the name of "change of numeraire", but in recent work it was shown that when invoked as a fundamental first principle, it provides a powerful alternative method for the derivation of prices and hedges of derivative securities, when prices of the underlying tradables are driven by Wiener processes. In this article we extend this work to the pricing problem in markets driven not only by Wiener processes but also by Poisson processes, i.e. jump-diffusion models. It is shown that in this case too, the focus on symmetry aspects of the problem leads to important simplifications of, and a deeper insight into the problem. Among the applications of the theory we consider the pricing of stock options in the presence of jumps, and Lévy-processes. Next we show how the same theory, by restricting the number of jumps, can be used to model credit risk, leading to a "market model" of credit risk. Both the traditional Duffie-Singleton and Jarrow-Turnbull models can be described within this framework, but also more general models, which incorporate default correlation in a consistent way. As an application of this theory we look at the pricing of a credit default swap (CDS) and a first-to-default basket option.
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Pinto Suárez, Carlos Javier. "Valoración de credit default swap aplicación del modelo de Jarrow y Turnbull en un bono de deuda privada en Colombia". Revista Lebret, n. 9 (22 giugno 2018): 151. http://dx.doi.org/10.15332/rl.v0i9.1954.

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7

Fruhwirth, Manfred, e Leopold Sögner. "The Jarrow/Turnbull Default Risk Model - Evidence from the German Market". SSRN Electronic Journal, 2002. http://dx.doi.org/10.2139/ssrn.301364.

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Fruhwirth, Manfred, e Leopold Sögner. "The Jarrow/Turnbull Default Risk Model: Evidence from the German Market". SSRN Electronic Journal, 2001. http://dx.doi.org/10.2139/ssrn.265456.

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9

Dubrana, Ludovic. "A Stochastic Model for Credit Spreads Under a Risk-Neutral Framework Through the Use of an Extended Version of the Jarrow, Lando and Turnbull Model". SSRN Electronic Journal, 2011. http://dx.doi.org/10.2139/ssrn.1964459.

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Tesi sul tema "Jarrow-Turnbull model"

1

Oguz, Hatice Dilek. "Pricing Us Corporate Bonds By Jarrow/turnbull (1995) Model". Master's thesis, METU, 2008. http://etd.lib.metu.edu.tr/upload/2/12611174/index.pdf.

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In this study Jarrow Turnbull (1995) Model, which is a reduced form approach for credit risk models, is employed to estimate the default intensity of US corporate bonds conditionally based on a fixed recovery rate. The estimations are performed with respect to the ratings of the bonds and the results were consistent with the ratings. US Treasury Bills are also used to since zero coupon default free prices, modeled by Svensson (1994) are necessary for pricing the default risky coupon bonds.
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Sharma, Nikunj. "Review of quantitative models of credit risk for debt instruments, including catastrophe bonds". Master's thesis, Instituto Superior de Economia e Gestão, 2020. http://hdl.handle.net/10400.5/20172.

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Mestrado em Actuarial Science
Os preços de contratos financeiros variam devido a dois principais fatores, nomeadamente o risco de mercado e o risco de crédito. O risco de mercado é o risco do valor de um contrato financeiro diminuir devido a alterações nos fatores do mercado, fatores estes que podem ser reduzidos pela diversificação em classes de ativos alternativas. O risco de crédito é o risco de uma pessoa ou uma organização deixar de efetuar um pagamento que havia prometido. É de consenso geral que uma análise efetiva do risco de crédito é essencial para investidores que procuram determinar se uma empresa tem capacidade financeira para cumprir as suas obrigações financeiras. Este estudo tem como principal foco o risco de crédito. Este estudo fornece uma revisão detalhada de pesquisas anteriores na área de modelagem de risco de crédito para instrumentos de dívida inadimplentes. O estudo menciona pontos fortes, deficiências e os recentes avanços no campo da modelagem de risco de crédito. Para além disso, é também feita uma revisão dos modelos cumumente usado: O modelo de Merton (1974), o modelo da primeira passagem (1976), o modelo de dois estados e o modelo de Jarrow-Lando-Turnbull (1997). Na segunda parte, é introduzido o conceito de catástrofe, explicando a suas definições e estrutura das partes interessadas. O evento de pagamento de um título de catástrofe após um evento de catástrofe é tratado pelos investidores como uma inadimplência de crédito. Assim, é portanto introduzido o uso do modelo quantitativo simples de risco de crédito para catástrofe de títulos.
Prices of financial contracts vary due to two major factors namely market risk and credit risk. Market risk is the risk that the value of a financial contract will decrease due to changes in market factors, these factors can be reduced by diversification into alternative assets classes. Credit risk is the risk that a person or an organisation will fail to make a payment that they have promised. It is a consensus that effective credit risk analysis is essential for investors seeking to determine whether a firm has the financial ability to meet its financial obligations. This study is primarily focused on the credit risk component. This study provides a detailed overview of past research in the area of credit risk modelling for defaultable debt instruments. The study mentions strengths, shortcomings and the recent advancement in the field of credit risk modelling. It also provides a review of commonly used model namely: the Merton model (1974), the first-passage-time model (1976), the two-state model and Jarrow-Lando-Turnbull model (1997). In the second part, we introduce catastrophe bonds by explaining their definitions and structure. The event of a pay-out from a catastrophe bond after a catastrophe event is treated by investors like a credit default. We will therefore extend the use of quantitative credit risk model to catastrophe bonds.
info:eu-repo/semantics/publishedVersion
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Gokgoz, Ismail Hakki. "Stochastic Credit Default Swap Pricing". Master's thesis, METU, 2012. http://etd.lib.metu.edu.tr/upload/12614921/index.pdf.

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Abstract (sommario):
Credit risk measurement and management has great importance in credit market. Credit derivative products are the major hedging instruments in this market and credit default swap contracts (CDSs) are the most common type of these instruments. As observed in credit crunch (credit crisis) that has started from the United States and expanded all over the world, especially crisis of Iceland, CDS premiums (prices) are better indicative of credit risk than credit ratings. Therefore, CDSs are important indicators for credit risk of an obligor and thus these products should be understood by market participants well enough. In this thesis, initially, advanced credit risk models firsts, the structural (firm value) models, Merton Model and Black-Cox constant barrier model, and the intensity-based (reduced-form) models, Jarrow-Turnbull and Cox models, are studied. For each credit risk model studied, survival probabilities are calculated. After explaining the basic structure of a single name CDS contract, by the help of the general pricing formula of CDS that result from the equality of in and out cash flows of these contracts, CDS price for each structural models (Merton model and Black-Cox constant barrier model) and CDS price for general type of intensity based models are obtained. Before the conclusion, default intensities are obtained from the distribution functions of default under two basic structural models
Merton and Black-Cox constant barrier. Finally, we conclude our work with some inferences and proposals.
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Hsieh, Tsung-chih, e 謝宗智. "Jarrow-Lando-Turnbull Model with Discrete Random Recovery Rate". Thesis, 2009. http://ndltd.ncl.edu.tw/handle/50485884668058854482.

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碩士
東吳大學
財務工程與精算數學系
97
JLT (Jarrow-Lando-Turnbull) model provides us an important and practical method to value some financial instrument such like the defaultable zero-coupon bonds or other credit derivatives such as credit spread options. But under the JLT model circumstance, the default state has only one default class with a constant recovery rate. This model does not consider the possibility of random recovery rate which occurs often in practice. Millossovich (2003) has dealt with the problem and extended to multiple default classes under the JLT model framework. In this paper, we further extend the Millossovich model. Our main purpose is to revise the Markov Transition Matrix and let the corporate that stays in different rate in early stage falls into the same default class in the next stage to have different recovery rates. We also did the credit spread sensitivity analysis to illustrate the graph analysis which Millossovich (2003) lacks.
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Lin, Shu-fang, e 林淑芳. "Project Debt Pricing--the Extension of Jarrow-Turnbull Discrete Model". Thesis, 2000. http://ndltd.ncl.edu.tw/handle/53204996088941087191.

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碩士
國立臺灣大學
財務金融學研究所
88
Project Finance is one way to get financing by using the cash flows that the project will generate in the future as the resource of payback. The lending amount is usually enormous and it''s very complicated since it involves many different institutions and companies. Project debts include many instruments, such as commercial bank loans and project bonds. Since there are various kinds of risks in a project, project debts have some unique properties, which make pricing them very difficult. This thesis discusses how to price project debts by using the Jarrow-Turnbull discrete model. The Jarrow-Turnbull discrete model is a credit risk pricing model, and it applies the no-arbitrage pricing method. This thesis releases the assumption that the recovery rate is fixed in the Jarrow-Turnbull discrete model, and points out a proper pricing method in terms of the special properties of project debts. Since there are few papers that discussed about this topic, it is hoped that this thesis can give the readers some hints to research further.
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Capitoli di libri sul tema "Jarrow-Turnbull model"

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Grundke, Peter. "Bewertung von Kreditderivaten im zeitdiskreten Modell von Jarrow, Lando und Turnbull". In Modellierung und Bewertung von Kreditrisiken, 127–77. Wiesbaden: Deutscher Universitätsverlag, 2003. http://dx.doi.org/10.1007/978-3-322-97847-9_4.

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