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Multiple Ratings Model of Defaultable Term Structure

✍ Scribed by Tomasz R. Bielecki; Marek Rutkowski


Book ID
108550458
Publisher
John Wiley and Sons
Year
2000
Tongue
English
Weight
257 KB
Volume
10
Category
Article
ISSN
0960-1627

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πŸ“œ SIMILAR VOLUMES


Term structure modeling and asymptotic l
✍ Yong Yao πŸ“‚ Article πŸ“… 1999 πŸ› Elsevier Science 🌐 English βš– 84 KB

This paper examines the dynamics of the asymptotic long rate in three classes of term structure models. It shows that, in a frictionless and arbitrage-free market, the asymptotic long rate is a non-decreasing process. This gives an alternative proof of the same result of Dybvig et al. (

Improving the term structure of interest
✍ Lourdes GΓ³mez-Valle; Julia MartΓ­nez-RodrΓ­guez πŸ“‚ Article πŸ“… 2009 πŸ› John Wiley and Sons 🌐 English βš– 241 KB πŸ‘ 2 views

## Abstract We consider a new approach for estimating the coefficients of the term structure equation in two‐factor models. This approach is based on the fact that the risk‐neutral drifts of the factors are directly estimated. Therefore, the market prices of risk and the physical drifts do not have