Dependent defaults and credit migrations

• Autorzy: Tomasz R. Bielecki , Marek Rutkowski
• Języki publikacji: EN

Abstrakty

EN

The paper deals with the modelling of mutually dependent default times of several credit names through the intensity-based approach. We extend to the case of multiple ratings some previous results due to Schmidt (1998), Kusuoka (1999) and Jarrow and Yu (2001). The issue of the arbitrage valuation of simple basket credit derivatives is also briefly examined. We argue that our approach leads, in some cases, to a significant reduction of the dimensionality of the valuation problem at hand.

Kategorie tematyczne

• 91B70: Stochastic models
• 60J27: Continuous-time Markov processes on discrete state spaces

• Wydawca: Institute of Mathematics Polish Academy of Sciences
• Czasopismo: Applicationes Mathematicae
• Rocznik: 2003
• Tom: 30
• Numer: 2
• Strony: 121-145

Daty

wydano

2003

Twórcy

autor

Tomasz R. Bielecki

• Mathematics Department, The Northeastern Illinois University, Chicago, IL 60625-4699, U.S.A.

autor

Marek Rutkowski

• Faculty of Mathematics and Information Science, Warsaw University of Technology, 00-661 Warszawa, Poland
• Institute of Mathematics, Polish Academy of Sciences, 00-956 Warszawa, Poland

Identyfikatory

DOI

10.4064/am30-2-1