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Modeling and Valuation of Credit Risk

  • Tomasz R. BieleckiEmail author
  • Monique Jeanblanc
  • Marek Rutkowski
Chapter
Part of the Lecture Notes in Mathematics book series (LNM, volume 1856)

Abstract

  • 1. Introduction

  • 2. Structural Approach
    • 2.1. Basic Assumptions

    • 2.2. Classic Structural Models

    • 2.3. Stochastic Interest Rates

    • 2.4. Credit Spreads: A Case Study

    • 2.5. Comments on Structural Models

  • 3. Intensity-Based Approach
    • 3.1. Hazard Function

    • 3.2. Hazard Processes

    • 3.3. Martingale Approach

    • 3.4. Further Developments

    • 3.5. Comments on Intensity-Based Models

  • 4. Dependent Defaults and Credit Migrations
    • 4.1. Basket Credit Derivatives

    • 4.2. Conditionally Independent Defaults

    • 4.3. Copula-Based Approaches

    • 4.4. Jarrow and Yu Model

    • 4.5. Extension of the Jarrow and Yu Model

    • 4.6. Dependent Intensities of Credit Migrations

    • 4.7. Dynamics of Dependent Credit Ratings

    • 4.8. Defaultable Term Structure

    • 4.9. Concluding Remarks

  • References

Mathematics Subject Classification (2000):

60G99 60-06 91-06 91B06 91B16 91B24 91B28 91B30 91B70 93-06 93E11 93E20 

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Copyright information

© Springer-Verlag Berlin/Heidelberg 2004

Authors and Affiliations

  • Tomasz R. Bielecki
    • 1
    Email author
  • Monique Jeanblanc
    • 2
  • Marek Rutkowski
    • 3
  1. 1.Department of Applied MathematicsIllinois Institute of TechnologyChicagoUSA
  2. 2.Equipe d’Analyse et ProbabilitésUniversité d’Évry-Val d’EssonneÉvryFrance
  3. 3.Faculty of Mathematics and Information ScienceWarsaw University of Technology and Institute of Mathematics of the Polish Academy of SciencesWarszawaPoland

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