Skip to main content

Advertisement

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