Credit Risk Pricing via Epstein-Zin Pricing Kernel

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atmire.migration.oldid5729
dc.contributor.advisorSezer, Deniz
dc.contributor.authorOgunsolu, Mobolaji
dc.contributor.committeememberFrei, Christoph
dc.contributor.committeememberBadescu, Alexandru
dc.contributor.committeememberWare, Antony
dc.contributor.committeememberDavid, Alexander
dc.contributor.committeememberLiao, Wenyuan
dc.date.accessioned2017-07-05T19:15:04Z
dc.date.available2017-07-05T19:15:04Z
dc.date.issued2017
dc.date.submitted2017en
dc.description.abstractWe present an equilibrium framework for pricing corporate bonds with information delay in an Epstein-Zin setting. As in structural models of credit risk, the default time is modeled as the first hitting time of a default boundary by the unobservable process; the firm's asset value. The observable state variables; log consumption and volatility are affine processes which drive the unobservable firm's value process. The stochastic pricing kernel is expressed in terms of the state variables. The price of a zero-coupon bond is expressed as the solution of a multidimensional partial differential equation which is solved numerically. Our equilibrium price model is also calibrated to fit available corporate bond and consumption data. Finally, we analyze the implications of investor’s preferences and information delay on the credit yield spreads.en_US
dc.identifier.citationOgunsolu, M. (2017). Credit Risk Pricing via Epstein-Zin Pricing Kernel (Doctoral thesis, University of Calgary, Calgary, Canada). Retrieved from https://prism.ucalgary.ca. doi:10.11575/PRISM/25486en_US
dc.identifier.doihttp://dx.doi.org/10.11575/PRISM/25486
dc.identifier.urihttp://hdl.handle.net/11023/3929
dc.language.isoeng
dc.publisher.facultyGraduate Studies
dc.publisher.institutionUniversity of Calgaryen
dc.publisher.placeCalgaryen
dc.rightsUniversity of Calgary graduate students retain copyright ownership and moral rights for their thesis. You may use this material in any way that is permitted by the Copyright Act or through licensing that has been assigned to the document. For uses that are not allowable under copyright legislation or licensing, you are required to seek permission.
dc.subjectEducation--Mathematics
dc.titleCredit Risk Pricing via Epstein-Zin Pricing Kernel
dc.typedoctoral thesis
thesis.degree.disciplineMathematics and Statistics
thesis.degree.grantorUniversity of Calgary
thesis.degree.nameDoctor of Philosophy (PhD)
ucalgary.item.requestcopytrue
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