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Credit Calibration with Structural Models and Equity Return Swap Valuation under Counterparty Risk

Damiano Brigo · Massimo Morini · Marco Tarenghi

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Credit Risk and Financial Regulations Stochastic processes and financial applications Financial Risk and Volatility Modeling

Abstract

This chapter contains sections titled: Introduction The Analytically Tractable First Passage (AT1P) Model Calibration of the Structural Model to CDS Data A Case Study with AT1P: Lehman Brothers Default History SBTV Model (Brigo and Morini 2006) A Case Study with SBTV: Lehman Brothers Default History A Fundamental Example: Pricing Counterparty Risk in Equity Return Swaps Conclusion Appendix 14A: AT1P Model: Proof Notes

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1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*1999Modeling Term Structures of Defaultable Bonds 1976VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS 1998On cox processes and credit risky securities 2004Credit Risk: Modeling, Valuation and Hedging 2000A comparative analysis of current credit risk models 2001Do Credit Spreads Reflect Stationary Leverage Ratios?1997Valuing Risky Fixed Rate Debt: An Extension

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2015COCO BONDS PRICING WITH CREDIT AND EQUITY CALIBRATED FIRST-PASSAGE FIRM VALUE MODELS

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