Economy – Quantitative Finance – Computational Finance
Scientific paper
2009-07-03
Economy
Quantitative Finance
Computational Finance
22 pages
Scientific paper
In this paper we use a hybrid Monte Carlo-Optimal quantization method to approximate the conditional survival probabilities of a firm, given a structural model for its credit defaul, under partial information. We consider the case when the firm's value is a non-observable stochastic process $(V_t)_{t \geq 0}$ and inverstors in the market have access to a process $(S_t)_{t \geq 0}$, whose value at each time t is related to $(V_s, s \leq t)$. We are interested in the computation of the conditional survival probabilities of the firm given the "investor information". As a application, we analyse the shape of the credit spread curve for zero coupon bonds in two examples.
Callegaro Giorgia
Sagna Abass
No associations
LandOfFree
An application to credit risk of a hybrid Monte Carlo-Optimal quantization method does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.
If you have personal experience with An application to credit risk of a hybrid Monte Carlo-Optimal quantization method, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and An application to credit risk of a hybrid Monte Carlo-Optimal quantization method will most certainly appreciate the feedback.
Profile ID: LFWR-SCP-O-706093