• 제목/요약/키워드: Multitype defaults

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DERIVATION OF A PRICE PROCESS FOR MULTITYPE MULTIPLE DEFAULTABLE BONDS

  • Park Heung-Sik
    • Journal of the Korean Statistical Society
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    • 제35권2호
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    • pp.193-199
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    • 2006
  • We consider a zero coupon bond that is at the risk of multitype multiple defaults. Assuming defaults occur according to k Cox processes, we find a price process for zero coupon bonds. To derive this process we follow the Lando (1998)'s method which uses conditional expectations instead of the traditional methods.