We introduce a novel class of credit risk models in which the drift of the survival process of a firm is a linear function of the factors. The prices of defaultable bonds and credit default swaps (CDS) are linear–rational in the factors. The price of a CDS option can be uniformly approximated by polynomials in the factors. Multi-name models can produce simultaneous defaults, generate positively as well as negatively correlated default intensities, and accommodate stochastic interest rates. A calibration study illustrates the versatility of these models by fitting CDS spread time series. A numerical analysis validates the efficiency of the option price approximation method.

中文翻译：

---

线性信用风险模型

我们介绍一种新颖的信用风险模型，其中企业生存过程的漂移是因素的线性函数。违约债券和信用违约掉期（CDS）的价格在各因素之间呈线性-理性关系。CDS期权的价格可以由多项式中的因子统一估算。多名称模型可以同时产生违约，产生正负相关的违约强度，并适应随机利率。一项校准研究通过拟合CDS传播时间序列来说明这些模型的多功能性。数值分析验证了期权价格近似方法的效率。