English, Article, Journal or magazine article edition: Extending Credit Risk (Pricing) Models for the Simulation of Portfolios of Interest Rate and Credit Risk Sensitive Securities Norbert Jobst; Stavros A. Zenios

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Bookmark: http://trove.nla.gov.au/version/190494
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Extending Credit Risk (Pricing) Models for the Simulation of Portfolios of Interest Rate and Credit Risk Sensitive Securities
Author
  • Norbert Jobst
  • Stavros A. Zenios
Physical Description
  • preprint
Notes
  • We discuss extensions of intensity based models for pricing credit risk and derivative securities to the simulation and valuation of portfolios. The stochasticity in interest rates, credit spreads (default intensities) and rating migrations are incorporated in a unified framework. Scenarios of future prices of all securities are calculated in a risk-neutral world. The calculated prices are consistent with observed prices and the term structure of default free and defaultable interest rates. Three applications are discussed: (i) study of the inter-temporal price sensitivity of credit bonds to changes in interest rates, default probabilities, recovery rates and rating migration, (ii) portfolio simulations with attribution of changes to credit events and interest rates and, (iii) tracking of corporate bond indices. Key words: credit risk, default risk, simulation, integrated product management
  • RePEc:wop:pennin:01-25
Language
  • English
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