Affine Modeling of Credit Risk, Pricing of Credit Events, and Contagion
提出了一个离散时间仿射定价模型，同时考虑系统性实体、传染效应和信用事件定价，用于债券和信用违约互换的定价，并基于欧元区多国数据估计模型，发现脆弱性和传染现象对信用利差动态重要，且信用事件定价导致显著信用风险溢价。
We propose a discrete-time affine pricing model that simultaneously allows for (i) the presence of systemic entities by departing from the no-jump condition on the factors’ conditional distribution, (ii) contagion effects, and (iii) the pricing of credit events. Our affine framework delivers explicit pricing formulas for default-sensitive securities such as bonds and credit default swaps (CDSs). We estimate a euro-area multicountry version of the model and address economic questions related to the pricing of sovereign credit risk. We find that both frailty (common factors) and contagion phenomena are important to account for the joint dynamics of credit spreads. Our results also provide evidence of credit-event pricing, which is at the source of substantial credit risk premiums, even for short maturities. Finally, we extract measures of depreciation-at-default from CDSs denominated in different currencies. This paper was accepted by Kay Giesecke, finance.