Fuzzy defaultable bonds

被引：19

作者：

Agliardi, Elettra ^{[1
,2
]}

Agliardi, Rossella ^{[1
,2
]}

机构：

[1] Univ Bologna, Dept Matemates, I-40126 Bologna, Italy

[2] Univ Bologna, Dept Econ, I-40126 Bologna, Italy

来源：

FUZZY SETS AND SYSTEMS | 2009年 / 160卷 / 18期

关键词：

Fuzzy stochastic process; Noisy information; Default risk; TERM STRUCTURES; CREDIT SPREADS; MODELS; RISK;

D O I：

10.1016/j.fss.2008.12.017

中图分类号：

TP301 [理论、方法];

学科分类号：

081202 ;

摘要：

This paper develops a structural model for defaultable bonds in a fuzzy environment. The numerical results calculated from the closed-form solution show that the fuzziness of the stochastic underlying asset and of bankruptcy costs have material impact on the term structure of credit spreads and the duration of defaultable bonds. (C) 2009 Elsevier B.V. All rights reserved.

引用

页码：2597 / 2607

页数：11

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