✦ LIBER ✦

A boundary crossing model of counterparty risk

✍ Scribed by Kian Esteghamat

Publisher: Elsevier Science
Year: 2003
Tongue: English
Weight: 490 KB
Volume: 27
Category: Article
ISSN: 0165-1889
DOI: 10.1016/s0165-1889(02)00082-9

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✦ Synopsis

This paper develops a market-implied credit score as a complement to internal and agency ratings. In its general form, the implied score is a multidimensional process whose passage through regions in space signals di erent credit events. The model o ers analytical tractability and the exibility to handle complex contract structures including, for example, claims with payo s that are dependent on multiple credit events and multiple contracting parties. A numerical example on pricing Republic of Argentina bonds and credit derivatives tests the feasibility of the model. The study shows how to overcome several practical challenges of using structural models.

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