[感谢]Building Models For Credit Spreads

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<span class="Apple-style-span" style="word-spacing: 0px; font: normal normal normal 16px/normal simsun; text-transform: none; color: rgb(0, 0, 0); text-indent: 0px; white-space: normal; letter-spacing: normal; border-collapse: separate; orphans: 2; widows: 2; -webkit-border-horizontal-spacing: 0px; -webkit-border-vertical-spacing: 0px; -webkit-text-decorations-in-effect: none; -webkit-text-size-adjust: auto; -webkit-text-stroke-width: 0px; "><div style="border-top-width: 0px; border-left-width: 0px; font-size: 10.5pt; border-bottom-width: 0px; font-family: Arial; border-right-width: 0px; "><font size="5"><em>Building Models For Credit Spreads</em></font><div>Angelo Arvanitis; Jean-Paul Laurent; Jonathan Gregory</div><div>THE JOURNAL OF DERIVATIVES</div><div>Spring 1999</div><div><br/></div><div>URL: <a href="http://www.iijournals.com/JOD/DEFAULT.ASP?Page=2&ISS=8185&SID=319117">http://www.iijournals.com/JOD/DEFAULT.ASP?Page=2&ISS=8185&SID=319117</a></div><div><br/></div><div><br/></div></div></span>

[此贴子已经被作者于2009-4-4 4:33:27编辑过]

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关键词：Building Spreads spread Credit models

顶一下，希望有人能帮助一下！

AUTHOR:	ANGELO ARVANITIS, JONATHON GREGORY, AND JEAN-PAUL LAURENT
TITLE:	Building Models for Credit Spreads
SOURCE:	Journal of Derivatives 6 no3 27-43 Spr 1999 ABSTRACT This article shows how a modeling framework for the evolution of credit spreads can be built up starting from a simple representation with only two states -- default and no default. The model is generalized by introducing credit classes, with transitions from one class to another driven by a deterministic credit migration matrix to account for credit rating behavior. The model allows memory in credit rating changes, credit spread volatility, and mean reversion. ... ... HTML文件，winrar压缩上传，希望是你需要的。

311413.rar (16.5 KB, 需要: 1000 个论坛币) 本附件包括：

• FullText.html

2009-4-3 23:04:00 上传

[00求文献]Building Models For Credit Spreads
需要: 1000 个论坛币  [购买]

谢谢回复，已经付款了，

不过html版的我也能下到，我是想要pdf版的，因为html版文件所有的图片都无法显示，如果能下到pdf版的还请帮帮忙，

继续千元求购！！！

这个是PDF版本的。

311481.pdf (470.51 KB, 需要: 1000 个论坛币)

2009-4-4 04:19:00 上传

[00求文献pdf文件]Building Models For Credit Spreads
需要: 1000 个论坛币  [购买]

[此贴子已经被作者于2009-4-4 4:20:10编辑过]

Thanks a million!!! 

晕，咋还没睡觉啊？你也在国外？

是呀，

我学校没买THE JOURNAL OF DERIVATIVES 2000之前的pdf电子杂志，你学校还不错啊，能留个email吗，需要帮助的时候可以互通有无

我的是wisesummer@gmail.com

可不可以免费或者少点论坛币分享一下啊，多谢了