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Publications associées (30)

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Credit Derivatives in an Affine Framework

Damir Filipovic, Li Chen

An efficient method for valuing credit derivatives based on three entities is developed in an affine framework. This includes interdependence of market and credit risk, joint credit migration and counterparty default risk of three forms. As an application ...

2007

A Simple Model for Credit Migration and Spread Curves

Damir Filipovic

We propose and examine a simple model for credit migration and spread curves of a single firm both under real-world and risk-neutral measures. This model is a hybrid of a structural and a reduced-form model. Default is triggered either by successive downgr ...

Springer Verlag2005

3D Finite Element Simulations of strip lines of a YBCO/Au Fault Current Limiter

Francesco Grilli, Joseph Duron, Bertrand Dutoit

Geometrical aspects of the design of fault current limiters (FCL) have a great impact on their performance. Recently, the University of Geneva have presented optimized geometries obtained by splitting the FCL into many small dissipative lengths in order to ...

2005

Selling Less Information for More: Garbling with Benefits

Thomas Alois Weber

The expected value of information in a standard portfolio investment problem with ex-post payment can increase when the information is garbled prior to its sale. Distorting the information helps to resolve the incentive problem decreasing the buyer’s defau ...

2004

A Mixed Approach to Modeling Default Risk

Damir Filipovic, Li Chen

Structural and reduced-form models are two well-established approaches to modelling a firm’s default risk. Here, Li Chen, Damir Filipovic and Vincent Poor develop a new default risk modelling strategy based on combining these two frameworks in order to ove ...

Risk2004

Quadratic Term Structure Models for Risk-Free and Defaultable Rates

Damir Filipovic

In this paper, quadratic term structure models (QTSMs) are analyzed and characterized in a general Markovian setting. The primary motivation for this work is to find a useful extension of the traditional QTSM, which is based on an Ornstein{Uhlenbeck (OU) s ...

Wiley-Blackwell2004

Capital structure and asset prices: Some effects of bankruptcy procedures

Erwan Morellec

We examine the impact of the U.S. bankruptcy procedure on the valuation of corporate securities and capital structure decisions. We provide closed-form solutions for corporate debt and equity values when defaulting firms can either liquidate their assets o ...

2004

A General Formula for Valuing Defaultable Securities

Pierre Collin Dufresne

Previous research has shown that under a suitable no-jump condition, the price of a defaultable security is equal to its risk-neutral expected discounted cash flows if a modified discount rate is introduced to account for the possibility of default. Below, ...

2004

Volatility and Sovereign Default

Luisa Lambertini

Over and over again, history shows that countries default on external debt when their economies experience a downturn. This paper presents a theoretical model of international lending that is consistent with this evidence. Productivity is stochastic and in ...

2003

On the Term Structure of Default Premia in the Swap and LIBOR Markets

Pierre Collin Dufresne

Existing theories of the term structure of swap rates provide an analysis of the Treasury-swap spread based on either a liquidity convenience yield in the Treasury market, or default risk in the swap market. Although these models do not focus on the relati ...

Wiley-Blackwell2001