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Dependent defaults and credit migrations

100%

Bielecki T., Rutkowski M.

Applicationes Mathematicae

2003

tom 30

nr 2

121-145

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.

Conditional Markov chains - construction and properties

81%

Bielecki T., Jakubowski J., Niewęgłowski M.

Banach Center Publications

2015

tom 105

nr 1

33-42

In this paper we study finite state conditional Markov chains (CMCs). We give two examples of CMCs, one which admits intensity, and another one, which does not admit an intensity. We also give a sufficient condition under which a doubly stochastic Markov chain is a CMC. In addition we provide a method for construction of conditional Markov chains via change of measure.

Ograniczanie wyników

1 Applicationes Mathematicae

1 Banach Center Publications

2 Bielecki T.

1 Jakubowski J.

1 Niewęgłowski M.

1 Rutkowski M.

1 2015

1 2003

Wyniki wyszukiwania

Dependent defaults and credit migrations

Conditional Markov chains - construction and properties