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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.
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 -