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- W1483004864 abstract "In this paper a simulation approach for defaultable yield curve is developed within the Heath et al. (1992) framework. The default event is modelled using the Cox process when the stochastic intensity repre sents the credit spread. The forward credit spread volatility function is affected by the entire credit spread term structure. Cox process properties and the Monte Carlo simulations technique are used for pricing defaultable bonds." @default.
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- W1483004864 date "2007-12-01" @default.
- W1483004864 modified "2023-09-27" @default.
- W1483004864 title "Modelling Credit Spreads evolution using the Cox Process within the HJM framework" @default.
- W1483004864 hasPublicationYear "2007" @default.
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