Valuation of Credit Derivatives with Multiple Time Scales in the Intensity Model

Table 1

Effect of the recovery rate.

Recovery rate ()	0.1	0.2	0.3	0.5	0.7	0.8
Fast scale factor	0.35	0.09	−0.11	−0.29	−0.27	−0.20
Slow scale factor	−0.43	−0.26	−0.10	0.24	0.57	0.73
Multiple scale factors	−0.10	−0.20	−0.21	−0.03	0.34	0.58