Dependent defaults and credit migrations

Tomasz R. Bielecki, and Marek Rutkowski. "Dependent defaults and credit migrations." Applicationes Mathematicae 30.2 (2003): 121-145. <http://eudml.org/doc/279435>.

@article{TomaszR2003,
abstract = {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.},
author = {Tomasz R. Bielecki, Marek Rutkowski},
journal = {Applicationes Mathematicae},
keywords = {dependent defaults; credit migrations; arbitrage valuation},
language = {eng},
number = {2},
pages = {121-145},
title = {Dependent defaults and credit migrations},
url = {http://eudml.org/doc/279435},
volume = {30},
year = {2003},
}

TY - JOUR
AU - Tomasz R. Bielecki
AU - Marek Rutkowski
TI - Dependent defaults and credit migrations
JO - Applicationes Mathematicae
PY - 2003
VL - 30
IS - 2
SP - 121
EP - 145
AB - 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.
LA - eng
KW - dependent defaults; credit migrations; arbitrage valuation
UR - http://eudml.org/doc/279435
ER -