Pricing of Defaultable Bonds with Log-Normal Spread: Development of the Model and an Application to Argentinean and Brazilian Bonds During the Argentine Crisis

dc.creatorCané de Estrada, Mariano
dc.creatorCortina, Elsa Aurora
dc.creatorFerro Fontan, Constantino
dc.creatorFiori, Javier di
dc.date.accessioned2020-09-10T14:34:22Z
dc.date.accessioned2022-10-15T08:06:23Z
dc.date.available2020-09-10T14:34:22Z
dc.date.available2022-10-15T08:06:23Z
dc.date.created2020-09-10T14:34:22Z
dc.date.issued2005-06
dc.identifierCané de Estrada, Mariano; Cortina, Elsa Aurora; Ferro Fontan, Constantino; Fiori, Javier di; Pricing of Defaultable Bonds with Log-Normal Spread: Development of the Model and an Application to Argentinean and Brazilian Bonds During the Argentine Crisis; Springer; Review of Derivatives Research; 8; 1; 6-2005; 49-60
dc.identifier1380-6645
dc.identifierhttp://hdl.handle.net/11336/113708
dc.identifierCONICET Digital
dc.identifierCONICET
dc.identifier.urihttps://repositorioslatinoamericanos.uchile.cl/handle/2250/4363499
dc.description.abstractIn 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.
dc.languageeng
dc.publisherSpringer
dc.relationinfo:eu-repo/semantics/altIdentifier/url/https://link.springer.com/article/10.1007/s11147-005-1007-8
dc.relationinfo:eu-repo/semantics/altIdentifier/doi/https://doi.org/10.1007/s11147-005-1007-8
dc.rightshttps://creativecommons.org/licenses/by-nc-sa/2.5/ar/
dc.rightsinfo:eu-repo/semantics/restrictedAccess
dc.subjectCREDIT RISK
dc.subjectDEFAULTABLE BONDS
dc.subjectLOG-NORMAL SPREAD
dc.titlePricing of Defaultable Bonds with Log-Normal Spread: Development of the Model and an Application to Argentinean and Brazilian Bonds During the Argentine Crisis
dc.typeinfo:eu-repo/semantics/article
dc.typeinfo:ar-repo/semantics/artículo
dc.typeinfo:eu-repo/semantics/publishedVersion


Este ítem pertenece a la siguiente institución