Title: Jumps in Intensity Models
Authors: Cariboni, Jessica
Schoutens, Wim
Issue Date: 2006
Publisher: K.U.Leuven U.C.S. Report
Series Title: vol:2006 issue:01
Abstract: This work presents intensity-based credit risk models where the default intensity of the point process is modeled by an Ornstein-Uhlenbeck type process completely driven by jumps. Under this model we compute the default probability over time by linking it to the characteristic function of
the integrated intensity process. In case of the Gamma and Inverse Gaussian Ornstein-Uhlenbeck processes this leads to a closed form expression for the default probability and to a straightforward estimate of credit default swaps prices. The model is calibrated to a series of real-market term
structures. Results are compared with the well known cases of Poisson and CIR dynamics. Possible extensions of the model to the multivariate setting are finally discussed
Publication status: published
KU Leuven publication type: IR
Appears in Collections:Statistics Section

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