ON FINANCIAL GUARANTEE INSURANCE UNDER STOCHASTIC INTEREST-RATES

Authors
Citation
Vs. Lai et M. Gendron, ON FINANCIAL GUARANTEE INSURANCE UNDER STOCHASTIC INTEREST-RATES, Geneva papers on risk and insurance. Theory, 19(2), 1994, pp. 119-137
Citations number
65
Categorie Soggetti
Business Finance",Economics
ISSN journal
09264957
Volume
19
Issue
2
Year of publication
1994
Pages
119 - 137
Database
ISI
SICI code
0926-4957(1994)19:2<119:OFGIUS>2.0.ZU;2-G
Abstract
We extend the financial guarantee insurance literature by modeling, un der stochastic interest rates, private financial guarantees when the g uarantor potentially defaults. By performing numerical simulations und er plausible parameters values, we characterize the differential impac t of the incorporation of stochasticity of interest rates on the valua tion of both public and private guarantees.