the web's biggest credit risk modeling resource.

Credit Jobs

Home Glossary Links FAQ / About Site Guide Search

Submit Your Paper

In Rememberance: World Trade Center (WTC)

Export citation to:
- Text (plain)
- BibTeX

Lando, David, "On Cox Processes and Credit Risky Securities", Review of Derivatives Research, Vol. 2, No. 2-3, (December 1998), pp. 99-120.

Abstract: We present an intensity based approach to modeling default risk and the term structure of credit risky bonds. Intensities of default are random but may depend on factors affecting the default-free term structure of interest rates. The framework is convenient for pricing derivative securities with risk of counterparty default and derivatives written on credit spreads. An extension of a Markovian model proposed by Jarrow, Lando and Turnbull is given and we discuss a notion of conditionally non-systematic default risk which is related to the use of empirically estimated hazard functions for pricing.

JEL Classification: G13.