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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2005
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| LEADER | 06671caa a22007097a 4500 | ||
|---|---|---|---|
| 001 | PAPER-4100 | ||
| 003 | AR-BaUEN | ||
| 005 | 20230518203336.0 | ||
| 008 | 190411s2005 xx ||||fo|||| 00| 0 eng|d | ||
| 024 | 7 | |2 scopus |a 2-s2.0-20944448036 | |
| 040 | |a Scopus |b spa |c AR-BaUEN |d AR-BaUEN | ||
| 100 | 1 | |a De Estrada, M.C. | |
| 245 | 1 | 0 | |a Pricing of defaultable bonds with log-normal spread: Development of the model and an application to Argentinean and Brazilian bonds during the Argentine crisis |
| 260 | |c 2005 | ||
| 270 | 1 | 0 | |m De Estrada, M.C.; Superintendencia de AFJP, Tucumán 500, (1049) Buenos Aires, Argentina; email: mcane@safjp.gov.ar |
| 506 | |2 openaire |e Política editorial | ||
| 504 | |a Abramowitz, M., Stegun, I., (1970) Handbook of Mathematical Functions, , New York: Dover Publications, Inc | ||
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| 504 | |a Black, F., Cox, J., Valuing corporate securities: Some effects of bond indenture provisions (1976) Journal of Finance, 35 (2), pp. 351-367 | ||
| 504 | |a Bohn, J., A survey of contingent-claims approaches to risky debt valuation (1999) Working Paper, , Haas School of Business, University of California | ||
| 504 | |a Blauer, I., Wilmott, P., Risk of default in Latin American brady bonds (1998) Technical Report | ||
| 504 | |a Cathcart, L., El Jahel, L., Valuation of defaultable bonds (1998) Journal of Fixed Income, 8 (1), pp. 65-78 | ||
| 504 | |a Duffie, D., Kan, R., A yield-factor model of interest rates (1996) Mathematical Finance, 6 (4), pp. 379-406 | ||
| 504 | |a Duffie, D., Singleton, K., Modeling term structures of defaultable bonds (1999) Review of Financial Studies, 12, pp. 687-729 | ||
| 504 | |a Duffie, D., Pedersen, L., Singleton, K., Modeling sovereign yield spreads: A case of study of Russian debt (2000) Working Paper, , Graduate School of Business, Stanford University | ||
| 504 | |a Goldys, B., Musiela, M., Sondermann, D., Lognormality of rates and term structure models (1996) Working Paper No. B-394, B-394. , University of Bonn | ||
| 504 | |a Heath, D., Jarrow, R., Morton, A., Bond pricing and the term structure of interest rates: A new methodology for contingent claims valuation (1992) Econometrica, 60 (1), pp. 77-105 | ||
| 504 | |a Hogan, M., Problems in certain two factors term structure models (1993) Appl. Prob., 3, pp. 576-591 | ||
| 504 | |a Jarrow, R., Turnbull, S., Pricing derivatives on financial securities subject to credit risk (1995) Journal of Finance, 50, pp. 53-85 | ||
| 504 | |a Jarrow, R., Lando, D., Turnbull, S., A Markov model for the term structure of credit risk spreads (1997) The Review of Financial Studies, 10, pp. 481-523 | ||
| 504 | |a Lando, D., Modeling bonds and derivatives with default risk (1997) Mathematics of Derivatives Securities, pp. 369-393. , In M. Dempster and S. Pliska (eds.), Cambridge: Cambridge University Press | ||
| 504 | |a Lo, C.F., Hui, C.H., Stress testing model of defaultable bond values (2000) Working Paper | ||
| 504 | |a Longstaff, F., Schwartz, E., A simple approach to value fixed and floating rate debt (1995) Journal of Finance, 50, pp. 789-819 | ||
| 504 | |a Merrick, J., (2000) Crisis Dynamics of Implied Default Recovery Ratios: Evidence from Russia and Argentina, , Stern School of Business, New York University | ||
| 504 | |a Merton, R., On the pricing of corporate debt: The risk structure of interest rates (1974) Journal of Finance, 29, pp. 449-470 | ||
| 504 | |a Miltersen, K., Sandmann, K., Sondermann, D., Closed form solutions for term structure derivatives with lognormal interest rates (1994) Working Paper No. B-308, B-308. , University of Bonn | ||
| 504 | |a Rebonato, R., (1998) Interest Rate Option Models, , John Wiley | ||
| 504 | |a Sondermann, D., Sandmann, K., On the stability of lognormal rate models (1994) Discussion Paper No. B-263, B-263. , University of Bonn | ||
| 504 | |a Schonbucher, P., The term structure of defaultable bonds (1998) The Review of Derivatives Research, 2 (2), pp. 161-192 | ||
| 504 | |a Schonbucher, P., The pricing of credit risk and credit risk derivatives (2000) Discussion Paper, , University of Bonn | ||
| 520 | 3 | |a 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 present a numerical application for Argentinean and Brazilian Sovereign Bonds during the default crisis of Argentina. © 2005 Springer Science + Business Media, Inc. |l eng | |
| 536 | |a Detalles de la financiación: Consejo Nacional de Investigaciones Científicas y Técnicas | ||
| 536 | |a Detalles de la financiación: Two of the authors, E. Cortina and C. Ferro Fontán are fellows of the Consejo Nacional de Investigaciones Científicas y Técnicas de la Argentina. | ||
| 593 | |a Superintendencia de AFJP, Tucumán 500, (1049) Buenos Aires, Argentina | ||
| 593 | |a Instituto Argentino de Matemática (CONICET), Saavedra 15, 3er. piso, (1083) Buenos Aires, Argentina | ||
| 593 | |a Instituto de Física del Plasma (CONICET), Facultad de Ciencias Exactas Y Naturales, Ciudad Universitaria, Pabellón 1, (1428) Buenos Aires, Argentina | ||
| 593 | |a Universidad de San Andrés, Vito Dumas 284, (1644) Victoria, Buenos Aires, Argentina | ||
| 690 | 1 | 0 | |a CREDIT RISK |
| 690 | 1 | 0 | |a DEFAULTABLE BONDS |
| 690 | 1 | 0 | |a LOG-NORMAL SPREAD |
| 700 | 1 | |a Cortina, E. | |
| 700 | 1 | |a Fontán, C.F. | |
| 700 | 1 | |a Fiori, J.D. | |
| 773 | 0 | |d 2005 |g v. 8 |h pp. 49-60 |k n. 1 |p Rev. Deriv. Res. |x 13806645 |t Review of Derivatives Research | |
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| 856 | 4 | 0 | |u https://doi.org/10.1007/s11147-005-1007-8 |y DOI |
| 856 | 4 | 0 | |u https://hdl.handle.net/20.500.12110/paper_13806645_v8_n1_p49_DeEstrada |y Handle |
| 856 | 4 | 0 | |u https://bibliotecadigital.exactas.uba.ar/collection/paper/document/paper_13806645_v8_n1_p49_DeEstrada |y Registro en la Biblioteca Digital |
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| 999 | |c 65053 | ||