Baranovski, Alexander; Lieres, Carsten von; Wilch, André - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2009
term structure
models like the CIR model.
Keywords: CDS spreads, bond spreads, default intensity, credit derivatives … pricing, spread risk
modelling, credit risk modelling, loan book valuation, CIR model
JEL classification: C13, C20 and C22 … default intensities derived from these spread
curves are key input to many applications, for instance credit derivatives …