14. Credit Calibration with Structural Models and Equity Return Swap Valuation under Counterparty Risk

  1. Tomasz R. Bielecki,
  2. Damiano Brigo and
  3. Fédéric Patras
  1. Damiano Brigo,
  2. Massimo Morini2 and
  3. Marco Tarenghi3

Published Online: 7 SEP 2012

DOI: 10.1002/9781118531839.ch14

Credit Risk Frontiers: Subprime Crisis, Pricing and Hedging, CVA, MBS, Ratings, and Liquidity

Credit Risk Frontiers: Subprime Crisis, Pricing and Hedging, CVA, MBS, Ratings, and Liquidity

How to Cite

Bielecki, T. R., Brigo, D. and Patras, F. (2011) Credit Calibration with Structural Models and Equity Return Swap Valuation under Counterparty Risk, in Credit Risk Frontiers: Subprime Crisis, Pricing and Hedging, CVA, MBS, Ratings, and Liquidity, John Wiley & Sons, Inc., Hoboken, NJ, USA. doi: 10.1002/9781118531839.ch14

Author Information

  1. 2

    Bocconi University and Banca IMI

  2. 3

    Mediobanca

Publication History

  1. Published Online: 7 SEP 2012
  2. Published Print: 24 JAN 2011

ISBN Information

Print ISBN: 9781576603581

Online ISBN: 9781118531839

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Keywords:

  • credit calibration;
  • equity return swap;
  • credit default swap;
  • structural models;
  • credit valuation adjustment

Summary

This chapter contains sections titled:

  • Introduction

  • The Analytically Tractable First Passage (AT1P) Model

  • Calibration of the Structural Model to CDS Data

  • A Case Study with AT1P: Lehman Brothers Default History

  • SBTV Model (Brigo and Morini 2006)

  • A Case Study with SBTV: Lehman Brothers Default History

  • A Fundamental Example: Pricing Counterparty Risk in Equity Return Swaps

  • Conclusion

  • Appendix 14A: AT1P Model: Proof

  • Notes