2007•Hu'nan Shifan Daxue xuebao. Ziran kexue banRequires access
Credit Spreads in Reduced-form Approach with Jump Risks
Xiangqun Yang
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Abstract
A two-factor reduced-form model on the instantaneous spread with jump risks is developed,where there exists the correlation between the spot interest rate and the instantaneous spread.The term structures of both credit spreads and default probability for defaultable bond are discussed,and are also analyzed with numerical examples.The results show that this model is capable of fitting the fact.