Hello, Login
X

Forgot Password?

Join Us

to start. Not a member? Join Today!
LinkedIn Join us on
Investment Management Information
“Bridging the theory & practice of investment management”
Email
Advanced Search →
  • Home
  • Journal
    • About
    • Subscribe to the Journal
      • Subscriptions
      • Library Subscriptions
    • Harry M. Markowitz Award
    • Submit a Paper
      • Article Guidelines
      • Practitioner’s Guidelines
    • Reprints & Permissions
    • Advertising
  • Conferences
    • JOIM Conference Events
    • About
    • Membership
    • Board Members
    • Sponsorship
  • Library Access
  • Contact
  • Help

0 comments / 14/07/2014 / the JOIM / Archives, Articles

Valuation of Credit Contingent Claims: An Arbitrage-Free Credit Model

Thomas S. Y. Ho and Sang Bin Lee

Volume 7, Number 3, Third Quarter 2009

This study extends the generalized Ho-Lee model to the credit derivative swap (CDS) curve movements that ensures the hazard rate movement is arbitrage-free for any given CDS curve. This study shows that the generalized Ho-Lee model is not limited to pricing the interest contingent claims. The Ho-Lee model can be equally applicable to pricing the credit contingent claims. This model can value a broad range of credit contingent claims. These credit contingent claims include the American and the Bermudan CDS options, make-whole and callable bonds. This model features the separation of the specification of volatilities of the hazard rate from the fitting of the model to the CDS curve. Our model has several advantages over other models because of this separation feature. For example, we can use the model to depict the credit performance profile of a bond, by plotting the credit contingent claim values over a range of hazard curves. The performance profiles can identify the impact of the credit risks on the contingent claims.

0 comments… add one
Cancel reply

Leave a Comment

Next Article: Jumping the Gates: Using Beta-Overlay Strategies to Hedge Liquidity Constraints

Previous Article: INSIGHTS: Market Crises Can the Physics of Phase Transitions and Symmetry Breaking Tell Us Anything Useful?

JOIM

    Library Access

    Subscribe to the Journal
    Submit a Paper
    Harry M. Markowitz Award
    Editorial Board
    Upcoming Conferences

    Edit Profile

Recent Comments

    JOIM

      About the JOIM
    • Library Access
    • Subscribe to the Journal
    • Submit a Paper
    • Editorial Board
    • Harry M. Markowitz Award
    • Reprints & Permissions
    • Advertising
    • Terms and Conditions

    JOIM Conference Series

    • About
    • Upcoming Conferences
    • Membership
    • Board Members
    • Sponsorship Opportunities
    • Terms & Conditions
    Speaker Reimbursement Policy

    Contact

    Journal Of Investment Management (JOIM)
    3658 Mt. Diablo Blvd., Suite 200
    Lafayette, CA 94549
    www.joim.com

    customerservice @ joim.com
    (925) 299-7800

    Copyright 2019 — Journal Of Investment Management design by SEO Web Designers