摘要翻译：
本文在Brigo和Tarenghi(2004，2005)[19][20]和Brigo和Morini(2006)[15]的基础上，发展了具有高可处理性的时变波动性的结构第一通道模型(AT1P和SBTV)。这些模型可以使用有效的违约概率闭式公式精确地校准到信用利差。违约事件是由公司资产价值达到安全阈值引起的，安全阈值取决于公司的财务状况和市场条件。在AT1P中，这个默认屏障是确定性的。相反，考虑到资产负债表信息的不确定性，SBTV对违约壁垒的初始水平假设了两种可能的情况。虽然在[19]和[15]中，这些模型是在帕玛拉特的历史上分析的，但在这里，随着危机的展开，我们将这些模型应用于雷曼信用违约互换(CDS)数据在违约前几个月的精确校准。我们用AT1P和SBTV得到的结果具有合理的经济解释，当考虑SBTV时尤其具有现实意义。股权收益互换交易对手风险的定价是我们考虑的一个方便的应用，也是为了说明混合产品背景下我们的信用模型与股权模型的相互作用。
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英文标题：
《Credit Calibration with Structural Models: The Lehman case and Equity
  Swaps under Counterparty Risk》
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作者：
Damiano Brigo, Massimo Morini, Marco Tarenghi
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最新提交年份：
2009
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Pricing of Securities        证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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一级分类：Quantitative Finance        数量金融学
二级分类：Risk Management        风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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英文摘要：
  In this paper we develop structural first passage models (AT1P and SBTV) with time-varying volatility and characterized by high tractability, moving from the original work of Brigo and Tarenghi (2004, 2005) [19] [20] and Brigo and Morini (2006)[15]. The models can be calibrated exactly to credit spreads using efficient closed-form formulas for default probabilities. Default events are caused by the value of the firm assets hitting a safety threshold, which depends on the financial situation of the company and on market conditions. In AT1P this default barrier is deterministic. Instead SBTV assumes two possible scenarios for the initial level of the default barrier, for taking into account uncertainty on balance sheet information. While in [19] and [15] the models are analyzed across Parmalat's history, here we apply the models to exact calibration of Lehman Credit Default Swap (CDS) data during the months preceding default, as the crisis unfolds. The results we obtain with AT1P and SBTV have reasonable economic interpretation, and are particularly realistic when SBTV is considered. The pricing of counterparty risk in an Equity Return Swap is a convenient application we consider, also to illustrate the interaction of our credit models with equity models in hybrid products context.
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PDF链接：
https://arxiv.org/pdf/0912.4404