ON FINANCIAL GUARANTEE INSURANCE UNDER STOCHASTIC INTEREST-RATES

被引:11
作者
LAI, VS
GENDRON, M
机构
[1] Department of Finance and Insurance, Faculty of Administrative Studies, Université Laval, Québec
来源
GENEVA PAPERS ON RISK AND INSURANCE THEORY | 1994年 / 19卷 / 02期
关键词
FINANCIAL GUARANTEES; DEFAULT RISK; INTEREST-RATE RISK; CREDIT ENHANCEMENT; PRIVATE AND PUBLIC GUARANTEES; DEPOSIT INSURANCE; CONTINGENT CLAIMS ANALYSIS;
D O I
10.1007/BF01371688
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
We extend the financial guarantee insurance literature by modeling, under stochastic interest rates, private financial guarantees when the guarantor potentially defaults. By performing numerical simulations under plausible parameters values, we characterize the differential impact of the incorporation of stochasticity of interest rates on the valuation of both public and private guarantees.
引用
收藏
页码:119 / 137
页数:19
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