Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model

Pricing credit spread options under a Ma

Pricing credit spread options under a Markov chain model with stochastic default rate

✍ Jangkoo Kang; Hwa-Sung Kim 📂 Article 📅 2004 🏛 John Wiley and Sons 🌐 English ⚖ 137 KB 👁 1 views

## Abstract This paper studies a Markov chain model that, unlike the existing models, has a stochastic default rate model so as to reflect real world phenomena. We extend the existing Markov chain models as follows: First, our model includes both the economy‐wide and the rating‐specific factors, wh