Details
Event Description
I introduce a class of credit barrier models which are simultaneously calibrated to both the real world credit transition matrix and credit spread curves. The underlying stochastic processes are in a class of recently introduced models which are solvable in analytically closed form. These models are characterized by both state dependent volatility and jumps and extend at once the most popular integrable models in the literature, namely the CEV and quadratic volatility model and the variance-gamma pure-jump model.
Event Category
ORFE Department Colloquia