Pricing of Defaultable Bonds with Log-Normal Spread: Development of the Model and an Application to Argentinean and Brazilian Bonds During the Argentine Crisis
In this paper we describe a two-factor model for a defaultable discount bond, assuming log-normal dynamics with bounded volatility for the instantaneous short rate spread. Under some simplified hypothesis, we obtain an explicit barrier-type solution for zero recovery and constant recovery. We also p...
| Autores: | , , , |
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| Formato: | artículo |
| Estado: | Versión publicada |
| Fecha de publicación: | 2005 |
| País: | Argentina |
| Recursos: | Consejo Nacional de Investigaciones Científicas y Técnicas |
| Repositorio: | CONICET Digital (CONICET) |
| Idioma: | inglés |
| OAI Identifier: | oai:ri.conicet.gov.ar:11336/113708 |
| Acesso em linha: | http://hdl.handle.net/11336/113708 |
| Access Level: | acceso abierto |
| Palavra-chave: | CREDIT RISK DEFAULTABLE BONDS LOG-NORMAL SPREAD https://purl.org/becyt/ford/5.2 https://purl.org/becyt/ford/5 |
| Resumo: | In this paper we describe a two-factor model for a defaultable discount bond, assuming log-normal dynamics with bounded volatility for the instantaneous short rate spread. Under some simplified hypothesis, we obtain an explicit barrier-type solution for zero recovery and constant recovery. We also present a numerical application for Argentinean and Brazilian Sovereign Bonds during the default crisis of Argentina. |
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