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creditgrades framework within stochastic covariance modelscreditgrades框架内随机协方差模型
Journal of Mathematical Finance, 2012, 2, 303-314
/10.4236/jmf.2012.24033 Published Online November 2012 (http://www.SciRP.org/journal/jmf)
CreditGrades Framework within Stochastic
Covariance Models
1 2 3
Marcos Escobar , Hamidreza Arian , Luis Seco
1Department of Mathematics, Ryerson University, Toronto, Canada
2Royal Bank of Canada, Toronto, Canada
3Department of Mathematics, University of Toronto, Toronto, Canada
Email: escobar@ryerson.ca, Hamid-arian@, seco@
Received March 7, 2012; revised April 9, 2012; accepted April 23, 2012
ABSTRACT
In this paper we study a multivariate extension of a structural credit risk model, the CreditGrades model, under the as-
sumption of stochastic volatility and correlation between the assets of the companies. The covariance of the assets fol-
lows two popular models which are non-overlapping extensions of the CIR model to dimensions greater than one, the
Wishart process and the Principal component process. Under CreditGrades, we find quasi closed-form solutions for
equity options, marginal probabilities of defaults, and some other major financial derivatives.
Keywords: Barrier Option; Stochastic Covariance; CreditGrades Mode; Wishart Process; Principal Component Process
1. Introduction Laplace transform and the distribution of the Wishart
process [3], prices derivatives with a generalized Wishart
We present a structural credit risk model which consid
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