Pricing of defaultable bonds with log-normal spread: Development of the model and an application to Argentinean and Brazilian bonds during the Argentine crisis

In 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 p...

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Detalles Bibliográficos
Autores principales:	De Estrada, M.C., Cortina, E., Fontán, C.F., Fiori, J.D.
Formato:	JOUR
Materias:	Credit risk Defaultable bonds Log-normal spread
Acceso en línea:	http://hdl.handle.net/20.500.12110/paper_13806645_v8_n1_p49_DeEstrada
Aporte de:	Biblioteca Digital - Facultad de Ciencias Exactas y Naturales (UBA) de Universidad de Buenos Aires

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spelling	todo:paper_13806645_v8_n1_p49_DeEstrada2023-10-03T16:11:41Z Pricing of defaultable bonds with log-normal spread: Development of the model and an application to Argentinean and Brazilian bonds during the Argentine crisis De Estrada, M.C. Cortina, E. Fontán, C.F. Fiori, J.D. Credit risk Defaultable bonds Log-normal spread In 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. © 2005 Springer Science + Business Media, Inc. Fil:Cortina, E. Universidad de Buenos Aires. Facultad de Ciencias Exactas y Naturales; Argentina. JOUR info:eu-repo/semantics/openAccess http://creativecommons.org/licenses/by/2.5/ar http://hdl.handle.net/20.500.12110/paper_13806645_v8_n1_p49_DeEstrada
institution	Universidad de Buenos Aires
institution_str	I-28
repository_str	R-134
collection	Biblioteca Digital - Facultad de Ciencias Exactas y Naturales (UBA)
topic	Credit risk Defaultable bonds Log-normal spread
spellingShingle	Credit risk Defaultable bonds Log-normal spread De Estrada, M.C. Cortina, E. Fontán, C.F. Fiori, J.D. Pricing of defaultable bonds with log-normal spread: Development of the model and an application to Argentinean and Brazilian bonds during the Argentine crisis
topic_facet	Credit risk Defaultable bonds Log-normal spread
description	In 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. © 2005 Springer Science + Business Media, Inc.
format	JOUR
author	De Estrada, M.C. Cortina, E. Fontán, C.F. Fiori, J.D.
author_facet	De Estrada, M.C. Cortina, E. Fontán, C.F. Fiori, J.D.
author_sort	De Estrada, M.C.
title	Pricing of defaultable bonds with log-normal spread: Development of the model and an application to Argentinean and Brazilian bonds during the Argentine crisis
title_short	Pricing of defaultable bonds with log-normal spread: Development of the model and an application to Argentinean and Brazilian bonds during the Argentine crisis
title_full	Pricing of defaultable bonds with log-normal spread: Development of the model and an application to Argentinean and Brazilian bonds during the Argentine crisis
title_fullStr	Pricing of defaultable bonds with log-normal spread: Development of the model and an application to Argentinean and Brazilian bonds during the Argentine crisis
title_full_unstemmed	Pricing of defaultable bonds with log-normal spread: Development of the model and an application to Argentinean and Brazilian bonds during the Argentine crisis
title_sort	pricing of defaultable bonds with log-normal spread: development of the model and an application to argentinean and brazilian bonds during the argentine crisis
url	http://hdl.handle.net/20.500.12110/paper_13806645_v8_n1_p49_DeEstrada
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Pricing of defaultable bonds with log-normal spread: Development of the model and an application to Argentinean and Brazilian bonds during the Argentine crisis

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