sbtv {CreditRisk} | R Documentation |
sbtv
calculates the survival probability Q(τ > t) and default intensity
for each maturity according to the structural SBTV model.
sbtv(V0, H, p, B, sigma, r, t)
V0 |
firm value at time |
H |
vector of differents safety level at time |
p |
vector of the probability of different scenario (sum of p must be 1). |
B |
free positive parameter used for shaping the barrier |
sigma |
a vector of constant stepwise volatility σ_t. |
r |
a vector of constant stepwise risk-free rate. |
t |
a vector of debt maturity structure (it is a numeric vector). |
sbtv
is an extension of the at1p
model. In this model the parameter H0
used
in the at1p
model is replaced by a random variable assuming different values in different
scenarios, each scenario with a different probability. The survival probability is calculated
as a weighted avarage of the survival probability using the formula:
SBTV.Surv = ∑_{i = 1}^N p[i] * AT1P.Surv(H[i])
where AT1P.Surv(H[i])
is the survival probability computed according to the AT1P model
when H_0 = H[i] and with weights equal to the probabilities of the different scenarios.
sbtv
returns an object of class data.frame
containing the survival probability
for each maturity. The last column is the default intensity calculated
among each interval Δ t.
Damiano Brigo, Massimo Morini, Andrea Pallavicini (2013) Counterparty Credit Risk, Collateral and Funding. With Pricing Cases for All Asset Classes.
mod <- sbtv(V0 = 1, H = c(0.4, 0.8), p = c(0.95, 0.05), B = 0, sigma = rep(0.20, 10), r = cdsdata$ED.Zero.Curve, t = cdsdata$Maturity) mod plot(cdsdata$Maturity, mod$Survival, type = 'b')