Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Modelling Bonds & Credit Default Swaps using a Structural Model with
  Contagion   This paper develops a two-dimensional structural framework for valuing credit
default swaps and corporate bonds in the presence of default contagion.
Modelling the values of related firms as correlated geometric Brownian motions
with exponential default barriers, analytical formulae are obtained for both
credit default swap spreads and corporate bond yields. The credit dependence
structure is influenced by both a longer-term correlation structure as well as
by the possibility of default contagion. In this way, the model is able to
generate a diverse range of shapes for the term structure of credit spreads
using realistic values for input parameters.

16
The categories of this paper are: stat
11
The categories of this paper are: hep-lat
24
The categories of this paper are: dg-ga
1
The categories of this paper are: cs
6
The categories of this paper are: astro-ph
23
The categories of this paper are: solv-int
27
The categories of this paper are: comp-gas
34
The categories of this paper are: chem-ph
37
The categories of this paper are: supr-con
29
The categories of this paper are: funct-an
26
The categories of this paper are: bayes-an
21
The categories of this paper are: adap-org
15
The categories of this paper are: nucl-ex
25
The categories of this paper are: patt-sol
22
The categories of this paper are: chao-dyn
31
The categories of this paper are: ao-sci