English, Article, Journal or magazine article edition: An application to credit risk of a hybrid Monte Carlo-Optimal quantization method Giorgia Callegaro; Abass Sagna

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Bookmark: http://trove.nla.gov.au/version/97460
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • An application to credit risk of a hybrid Monte Carlo-Optimal quantization method
Author
  • Giorgia Callegaro
  • Abass Sagna
Physical Description
  • preprint
Notes
  • In this paper we use a hybrid Monte Carlo-Optimal quantization method to approximate the conditional survival probabilities of a firm, given a structural model for its credit defaul, under partial information. We consider the case when the firm's value is a non-observable stochastic process $(V_t)_{t \geq 0}$ and inverstors in the market have access to a process $(S_t)_{t \geq 0}$, whose value at each time t is related to $(V_s, s \leq t)$. We are interested in the computation of the conditional survival probabilities of the firm given the "investor information". As a application, we analyse the shape of the credit spread curve for zero coupon bonds in two examples.
  • credit risk, structural approach, survival probabilities, partial information, filtering, optimal quantization, Monte Carlo method.
  • RePEc:hal:wpaper:hal-00400666_v1
Language
  • English
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