• Title/Summary/Keyword: Multitype defaults

Search Result 1, Processing Time 0.019 seconds

DERIVATION OF A PRICE PROCESS FOR MULTITYPE MULTIPLE DEFAULTABLE BONDS

  • Park Heung-Sik
    • Journal of the Korean Statistical Society
    • /
    • v.35 no.2
    • /
    • pp.193-199
    • /
    • 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.