A. Giustini
This paper considers a stochastic model for managing spread risk by time changing the jump Cox-IngersollRoss (JCIR) process with a random clock, which has a mean reverting jump component that leads to mean reversion in the level of credit spread in addition to the smooth mean reversion force. In order to calibrate the model we use the particle filtering technique, which allows for the estimate of real-world and risk-neutral probability distributions from time series of credit spread observations.
Parole Chiave: 
Solvency II, Internal Model, Spread Risk Model, Mean Reversion, Jump Process, Random Clock, Calibration, Particle Filter
Tipo di pubblicazione: 
Rapporto Tecnico
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