Artículo

Estamos trabajando para incorporar este artículo al repositorio
Consulte el artículo en la página del editor
Consulte la política de Acceso Abierto del editor

Abstract:

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. © 2005 Springer Science + Business Media, Inc.

Registro:

Documento: Artículo
Título:Pricing of defaultable bonds with log-normal spread: Development of the model and an application to Argentinean and Brazilian bonds during the Argentine crisis
Autor:De Estrada, M.C.; Cortina, E.; Fontán, C.F.; Fiori, J.D.
Filiación:Superintendencia de AFJP, Tucumán 500, (1049) Buenos Aires, Argentina
Instituto Argentino de Matemática (CONICET), Saavedra 15, 3er. piso, (1083) Buenos Aires, Argentina
Instituto de Física del Plasma (CONICET), Facultad de Ciencias Exactas Y Naturales, Ciudad Universitaria, Pabellón 1, (1428) Buenos Aires, Argentina
Universidad de San Andrés, Vito Dumas 284, (1644) Victoria, Buenos Aires, Argentina
Palabras clave:Credit risk; Defaultable bonds; Log-normal spread
Año:2005
Volumen:8
Número:1
Página de inicio:49
Página de fin:60
DOI: http://dx.doi.org/10.1007/s11147-005-1007-8
Título revista:Review of Derivatives Research
Título revista abreviado:Rev. Deriv. Res.
ISSN:13806645
Registro:https://bibliotecadigital.exactas.uba.ar/collection/paper/document/paper_13806645_v8_n1_p49_DeEstrada

Referencias:

  • Abramowitz, M., Stegun, I., (1970) Handbook of Mathematical Functions, , New York: Dover Publications, Inc
  • Altman, E.I., Eberhart, A.C., Do seniority provisions protect Bondholder's investments? (1994) The Journal of Portfolio Management, 20 (4), p. 6775
  • Altman, E.I., Cooke, D., Kishore, V., (1999) Defaults & Returns on High Yield Bonds: Analysis Through 1998 and Default Outlook for 1999-2000, , New York University Salomon Center
  • Black, F., Cox, J., Valuing corporate securities: Some effects of bond indenture provisions (1976) Journal of Finance, 35 (2), pp. 351-367
  • Bohn, J., A survey of contingent-claims approaches to risky debt valuation (1999) Working Paper, , Haas School of Business, University of California
  • Blauer, I., Wilmott, P., Risk of default in Latin American brady bonds (1998) Technical Report
  • Cathcart, L., El Jahel, L., Valuation of defaultable bonds (1998) Journal of Fixed Income, 8 (1), pp. 65-78
  • Duffie, D., Kan, R., A yield-factor model of interest rates (1996) Mathematical Finance, 6 (4), pp. 379-406
  • Duffie, D., Singleton, K., Modeling term structures of defaultable bonds (1999) Review of Financial Studies, 12, pp. 687-729
  • Duffie, D., Pedersen, L., Singleton, K., Modeling sovereign yield spreads: A case of study of Russian debt (2000) Working Paper, , Graduate School of Business, Stanford University
  • Goldys, B., Musiela, M., Sondermann, D., Lognormality of rates and term structure models (1996) Working Paper No. B-394, B-394. , University of Bonn
  • Heath, D., Jarrow, R., Morton, A., Bond pricing and the term structure of interest rates: A new methodology for contingent claims valuation (1992) Econometrica, 60 (1), pp. 77-105
  • Hogan, M., Problems in certain two factors term structure models (1993) Appl. Prob., 3, pp. 576-591
  • Jarrow, R., Turnbull, S., Pricing derivatives on financial securities subject to credit risk (1995) Journal of Finance, 50, pp. 53-85
  • Jarrow, R., Lando, D., Turnbull, S., A Markov model for the term structure of credit risk spreads (1997) The Review of Financial Studies, 10, pp. 481-523
  • Lando, D., Modeling bonds and derivatives with default risk (1997) Mathematics of Derivatives Securities, pp. 369-393. , In M. Dempster and S. Pliska (eds.), Cambridge: Cambridge University Press
  • Lo, C.F., Hui, C.H., Stress testing model of defaultable bond values (2000) Working Paper
  • Longstaff, F., Schwartz, E., A simple approach to value fixed and floating rate debt (1995) Journal of Finance, 50, pp. 789-819
  • Merrick, J., (2000) Crisis Dynamics of Implied Default Recovery Ratios: Evidence from Russia and Argentina, , Stern School of Business, New York University
  • Merton, R., On the pricing of corporate debt: The risk structure of interest rates (1974) Journal of Finance, 29, pp. 449-470
  • Miltersen, K., Sandmann, K., Sondermann, D., Closed form solutions for term structure derivatives with lognormal interest rates (1994) Working Paper No. B-308, B-308. , University of Bonn
  • Rebonato, R., (1998) Interest Rate Option Models, , John Wiley
  • Sondermann, D., Sandmann, K., On the stability of lognormal rate models (1994) Discussion Paper No. B-263, B-263. , University of Bonn
  • Schonbucher, P., The term structure of defaultable bonds (1998) The Review of Derivatives Research, 2 (2), pp. 161-192
  • Schonbucher, P., The pricing of credit risk and credit risk derivatives (2000) Discussion Paper, , University of Bonn

Citas:

---------- APA ----------
De Estrada, M.C., Cortina, E., Fontán, C.F. & Fiori, J.D. (2005) . Pricing of defaultable bonds with log-normal spread: Development of the model and an application to Argentinean and Brazilian bonds during the Argentine crisis. Review of Derivatives Research, 8(1), 49-60.
http://dx.doi.org/10.1007/s11147-005-1007-8
---------- CHICAGO ----------
De Estrada, M.C., Cortina, E., Fontán, C.F., Fiori, J.D. "Pricing of defaultable bonds with log-normal spread: Development of the model and an application to Argentinean and Brazilian bonds during the Argentine crisis" . Review of Derivatives Research 8, no. 1 (2005) : 49-60.
http://dx.doi.org/10.1007/s11147-005-1007-8
---------- MLA ----------
De Estrada, M.C., Cortina, E., Fontán, C.F., Fiori, J.D. "Pricing of defaultable bonds with log-normal spread: Development of the model and an application to Argentinean and Brazilian bonds during the Argentine crisis" . Review of Derivatives Research, vol. 8, no. 1, 2005, pp. 49-60.
http://dx.doi.org/10.1007/s11147-005-1007-8
---------- VANCOUVER ----------
De Estrada, M.C., Cortina, E., Fontán, C.F., Fiori, J.D. Pricing of defaultable bonds with log-normal spread: Development of the model and an application to Argentinean and Brazilian bonds during the Argentine crisis. Rev. Deriv. Res. 2005;8(1):49-60.
http://dx.doi.org/10.1007/s11147-005-1007-8