https://scholars.lib.ntu.edu.tw/handle/123456789/632078
標題: | A pricing model with dynamic credit rating transition matrixes | 作者: | Tsai Y.-C Lin S.-H YUH-DAUH LYUU |
關鍵字: | Credit derivatives; Credit-sensitive note (csn); Dirichlet distribution; Rating transitions; Risky debt | 公開日期: | 2021 | 卷: | 15 | 期: | 3 | 起(迄)頁: | 103-121 | 來源出版物: | Journal of Risk Model Validation | 摘要: | A credit-sensitive note (CSN) is a corporate coupon-bearing bond whose floating coupon rates link to the credit rating of the corporation. Acharya, Das and Sundaram proposed a model to price them, but their lattice algorithm runs in exponential time. Further, the Acharya–Das–Sundaram (ADS) model uses a constant credit rating transition matrix, which is rarely the case in reality. This paper incorporates a stochastic credit rating transition matrix into the ADS model and implements a simulationbased pricing method. When applied to CSN pricing, our approach is more efficient than the lattice method. It also shows that the stochasticity of the credit rating transition matrix has an impact on the prices, particularly for lower-rated classes. © 2021. Infopro Digital Risk (IP) Limited |
URI: | https://www.scopus.com/inward/record.uri?eid=2-s2.0-85126096771&doi=10.21314%2fJRMV.2021.007&partnerID=40&md5=7a5b9b3a287cf99c84600152ef14e28c https://scholars.lib.ntu.edu.tw/handle/123456789/632078 |
ISSN: | 17539579 | DOI: | 10.21314/JRMV.2021.007 |
顯示於: | 資訊工程學系 |
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