naa a22 4500 510808565 CHVBK 20180411083430.0 cr unu---uuuuu 180411e20130301xx s 000 0 eng 10.1007/s11579-012-0090-5 doi (NATIONALLICENCE)springer-10.1007/s11579-012-0090-5 A tractable LIBOR model with default risk [Elektronische Daten] [Zorana Grbac, Antonis Papapantoleon] We develop a model for the dynamic evolution of default-free and defaultable interest rates in a LIBOR framework. Utilizing the class of affine processes, this model produces positive LIBOR rates and spreads, while the dynamics are analytically tractable under defaultable forward measures. This leads to explicit formulas for CDS spreads, while semi-analytical formulas are derived for other credit derivatives. Finally, we give an application to counterparty risk. Springer-Verlag Berlin Heidelberg, 2012 LIBOR rates nationallicence Default risk nationallicence Affine processes nationallicence Affine LIBOR models nationallicence Analytically tractable models nationallicence CDS spread nationallicence Counterparty risk nationallicence Grbac Zorana Départment Mathématiques, Université d'Évry Val d'Essonne, 23 Boulevard de France, 91037, Évry Cedex, France aut Papapantoleon Antonis Institute of Mathematics, TU Berlin, Strasse des 17. Juni 136, 10623, Berlin, Germany aut Mathematics and Financial Economics Springer Berlin Heidelberg 7/2(2013-03-01), 203-227 1862-9679 7:2<203 2013 7 11579 https://doi.org/10.1007/s11579-012-0090-5 text/html Onlinezugriff via DOI 1 research-article jats NATIONALLICENCE 856 40 https://doi.org/10.1007/s11579-012-0090-5 text/html Onlinezugriff via DOI NATIONALLICENCE 700 1- Grbac Zorana Départment Mathématiques, Université d'Évry Val d'Essonne, 23 Boulevard de France, 91037, Évry Cedex, France aut NATIONALLICENCE 700 1- Papapantoleon Antonis Institute of Mathematics, TU Berlin, Strasse des 17. Juni 136, 10623, Berlin, Germany aut NATIONALLICENCE 773 0- Mathematics and Financial Economics Springer Berlin Heidelberg 7/2(2013-03-01), 203-227 1862-9679 7:2<203 2013 7 11579 Metadata rights reserved Springer special CC-BY-NC licence nationallicence BK010053 XK010053 XK010000 NATIONALLICENCE NATIONALLICENCE NL-springer