Abstract
Modeling of credit risk is concerned with constructing and studying formal models of time evolution of credit ratings (credit migrations) in a pool of credit names, and with studying various properties of such models. In particular, this involves modeling and studying default times and their functionals.
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Bibliography
We do not give a long list of recommended reading here. That would be in any case incomplete. Up–to–date references can be found on www.defaultrisk.com.
Bielecki TR, Rutkowski M (2004) Credit risk: modeling, valuation and hedging. Springer, Berlin
Bielecki TR, Brigo D, Patras F (eds) (2011) Credit risk frontiers: subprime crisis, pricing and hedging, CVA, MBS, ratings and liquidity. Wiley, Hoboken
Bielecki TR, Jakubowski J, Niewȩgłowski M (2013) Intricacies of dependence between components of multivariate Markov chains: weak Markov consistency and Markov copulae. Electron J Probab 18(45):1–21
Bluhm Ch, Overbeck L, Wagner Ch (2010) An introduction to credit risk modeling. Chapman & Hall, Boca Raton
El Karoui N, Jeanblanc M, Jiao Y (2010) What happens after a default: the conditional density approach. SPA 120(7):1011–1032
Schönbucher PhJ (2003) Credit derivatives pricing models. Wiley Finance, Chichester
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Bielecki, T.R. (2015). Credit Risk Modeling. In: Baillieul, J., Samad, T. (eds) Encyclopedia of Systems and Control. Springer, London. https://doi.org/10.1007/978-1-4471-5058-9_43
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DOI: https://doi.org/10.1007/978-1-4471-5058-9_43
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