Time-changed affine models: fitting interest-rates and CDS term-structures without shift

Abstract

The class of affine short-rate or intensity models are very popular in finance for tractability reasons. For instance, time-homogeneous models like Vasicek, CIR and JCIR are clearly the most popular models to describe... [ view full abstract ]

Authors

  1. Cheikh Mbaye (Universite catholique de Louvain)
  2. Frédéric Vrins (Universite catholique de Louvain)

Topic Areas

Credit Risk , Calibration , CVA-XVA Models

Session

FR-A-DA » Credit Risk 3 (10:00 - Friday, 20th July, Davis)

Presentation Files

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