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Essays in term structure and credit ...

Fan, Rong.

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Essays in term structure and credit spread models.

Record Type:	Electronic resources : Monograph/item
Title/Author:	Essays in term structure and credit spread models./
Author:	Fan, Rong.
Description:	139 p.
Notes:	Source: Dissertation Abstracts International, Volume: 63-07, Section: B, page: 3455.
Contained By:	Dissertation Abstracts International63-07B.
Subject:	Operations Research. -
Online resource:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3058341
ISBN:	0493741518

Essays in term structure and credit spread models.
Fan, Rong.

Essays in term structure and credit spread models. - 139 p.

Source: Dissertation Abstracts International, Volume: 63-07, Section: B, page: 3455.

Thesis (Ph.D.)--Case Western Reserve University, 2002.

This dissertation has three essays related to term structure models of riskless bonds and corporate debt. The first essay investigates the performance of a few one, two, three and four factor models of the term structure for pricing caps and swaptions. Our goal is to evaluate how the number of stochastic drivers and their associated volatility structures affect pricing. Our empirical findings have strong implications for modeling and risk management of an array of actively traded derivatives that closely relate to caps and swaptions.

ISBN: 0493741518Subjects--Topical Terms:

626629
Operations Research.

Essays in term structure and credit spread models.
LDR:02386nmm 2200301 4500 001 1850358
005 20051208095309.5
008 130614s2002 eng d
020 $a 0493741518
035 $a (UnM)AAI3058341
035 $a AAI3058341
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100 1 $a Fan, Rong. $3 1277589
245 1 0 $a Essays in term structure and credit spread models.
300 $a 139 p.
500 $a Source: Dissertation Abstracts International, Volume: 63-07, Section: B, page: 3455.
500 $a Adviser: Peter Ritchken.
502 $a Thesis (Ph.D.)--Case Western Reserve University, 2002.
520 $a This dissertation has three essays related to term structure models of riskless bonds and corporate debt. The first essay investigates the performance of a few one, two, three and four factor models of the term structure for pricing caps and swaptions. Our goal is to evaluate how the number of stochastic drivers and their associated volatility structures affect pricing. Our empirical findings have strong implications for modeling and risk management of an array of actively traded derivatives that closely relate to caps and swaptions.
520 $a The second essay develops some new models for pricing risky corporate debt. These models have the property that when the credit spread is shut off, the process collapses to well known models for Treasury bonds. In general, the credit spread is a non-negative process, correlated with interest rates. These models form the basis for algorithms for pricing credit derivatives.
520 $a The third essay focuses on an application of the models developed in the second essay. For the better part of two decades, economists have debated the merits of regulations requiring a minimum level of subordinated debt in a bank's capital structure. Recently, several proposals have been discussed by the Federal Reserve that will mandate that banks use subordinated debt of various forms in their capital structure. Given our models of credit derivatives, we will investigate the advantages and disadvantages of some of the current proposals that are being hotly debated.
590 $a School code: 0042.
650 4 $a Operations Research. $3 626629
650 4 $a Economics, Finance. $3 626650
690 $a 0796
690 $a 0508
710 2 0 $a Case Western Reserve University. $3 1017714
773 0 $t Dissertation Abstracts International $g 63-07B.
790 1 0 $a Ritchken, Peter, $e advisor
790 $a 0042
791 $a Ph.D.
792 $a 2002
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3058341