文章基本信息

标题：The computation of bond values by simulating transition matrixes and calibration of BDT
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作者：Radu Lupu
期刊名称：Economy Informatics
印刷版ISSN：1582-7941
出版年度：2006
卷号：VI
期号：1
出版社：INFOREC Association
摘要：Credit risk represents the risk of possible losses caused by unexpected changes in the credit ratings. This paper uses the methodology developed in Barnhill&Maxwell (2002) by computing a ten-year bond using 100,000 paths of Monte Carlo simulations for the transition matrixes. The main contribution consists in the development of the Matlab program that produces the transition matrixes and the calibration of the Black Derman Toy model for a ten-year risk-free term structure by the use of some imaginary term structure and yield volatilities.