Find file History
Latest commit 7ffeb98 Sep 24, 2016 @mhofert mhofert various minor fixes

README

### R scripts for Chapter 10

10_Counterparty_credit_risk_IRS.R
   Illustration of counterparty credit risk in an interest-rate swap
10_Markov_chains.R
   Simulation and estimation of continuous-time Markov chains
10_Merton_model.R
   Illustration of asset value paths in Merton’s model and paths for the value of the firm's debt
10_Merton_implied_credit_spreads.R
   Calculation of credit spreads implied by Merton’s model
10_DD_for_RadioShack.R
   Illustration of calculation of distance-to-default for RadioShack based on Merton model
10_Rating_embedding.R
   Illustration of the embedding of default and migration probabilities in a firm-value framework
10_Hazard_rate_model_spreads.R
   Calculation of credit spreads in hazard rate models under RT and RF recovery models
10_CDS_calibration.R
   Illustration of the calibration of hazard rate when one CDS spread is available