Multiple Ratings Model of Defaultable Term Structure
β 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
No coin nor oath required. For personal study only.
π SIMILAR VOLUMES
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. (
## Abstract We consider a new approach for estimating the coefficients of the term structure equation in twoβfactor models. This approach is based on the fact that the riskβneutral drifts of the factors are directly estimated. Therefore, the market prices of risk and the physical drifts do not have