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Mathematics-in-Industry Case Studies

Table 3 Hazard Rate Model Parameters estimations

From: Credit contingent interest rate swap pricing

 

λ 0

b 2

σ 2

a 2

AAA

0.15633%

0.4127%

0.020113992

1

AA

0.27833%

0.8774%

0.032584086

1

A

0.64683%

1.1736%

0.035502957

1

BBB

0.95367%

1.7312%

0.060824805

1

BB

2.99200%

4.5034%

0.086378396

1

B

6.85900%

12.3920%

0.182026115

1

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