Pricing corporate bond and CDS under a structural form model with regime switching

主讲教师:王过京 人气:4441 更新时间: 2016年11月21日
摘要:It is well known that the change of macro economy will impact on the credit quality of a defaultable firm. In this paper, we consider the influence of the macro economy on the corporate bond and its corresponding credit default swap (CDS) under a structural form model with regime switching. We mainly investigate the price for the zero-coupon bond and the fair premium for the corresponding CDS contrct. Closed form results, used for calculating the price and the fair premium, are derived when the common distribution of jumps is double exponentially distributed. We calibrate the model parameters by some historical data. The numerical results show some certain accuracy of prediction by the proposed model.
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