Credit Spread Changes within Switching Regimes

Comme je souhaite le développer dans cette seconde partie qui va davantage faire référence à ma question de départ, je cite : Intégration à inclusion : comment

We examined the variation in sperm length and number among individuals from four natural pop- ulations of the land snail Arianta arbustorum, a species with multiple mating and

return levels based on model projected mean and variance at any desired future

(2001) or Blanchet-Scalliet and Jeanblanc (2000)), we shall directly analyse the possibility of replication of a given defaultable contingent claim by means of a trading strategy

and Singleton, K., Credit Risk: pricing, Measurement and Management, Princeton University Press , 2002.

Rutkowski (2007) Hedging of basket credit derivatives in credit default swap market.. Jeanblanc (2004) Hazard rate for credit risk and hedging defaultable

Furthermore, the observed decrease in the importance of credit risk factors inside the spreads of larger firms since the beginning of the crisis, combined to the

Keywords: corporate bonds, default intensity, event risk, risk premia, interest rate rule, term structure models, state space models, Kalman filter...