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- W2005730882 abstract "• We given a fuzzy pattern of the reduced-form intensity-based credit risk model. • We presented some applications of the methodology for pricing defaultable bonds and CDS. • Numerical simulations are given to show the consistency of the model. The external shocks and internal contagion are the important sources of default events. However, the external shocks and internal contagion effect on the company is not observed, we cannot get the accurate size of the shocks. The information of investors relative to the default process exhibits a certain fuzziness. Therefore, using randomness and fuzziness to study such problems as derivative pricing or default probability has practical needs. But the idea of fuzzifying credit risk models is little exploited, especially in a reduced-form model. This paper proposes a new default intensity model with fuzziness and presents a fuzzy default probability and default loss rate, and puts them into default debt and credit derivative pricing. Finally, the simulation analysis verifies the rationality of the model. Using fuzzy numbers and random analysis one can consider more uncertain sources in the default process of default and investors’ subjective judgment on the financial markets in a variety of fuzzy reliability so as to broaden the scope of possible credit spreads." @default.
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- W2005730882 date "2015-05-01" @default.
- W2005730882 modified "2023-10-16" @default.
- W2005730882 title "A reduced-form intensity-based model under fuzzy environments" @default.
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