CREDIT RISK VALUATION WITH RATING TRANSITIONS AND PARTIAL INFORMATION
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Publication:2941063
DOI10.1142/S0219024914500460zbMath1304.91231MaRDI QIDQ2941063
Christian Y. Robert, Donatien Hainaut
Publication date: 21 January 2015
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
credit derivativesphase-type distributionscorporate bondscredit migrations modelspartial and delayed information
Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40) Applications of continuous-time Markov processes on discrete state spaces (60J28)
Cites Work
- Modelling default contagion using multivariate phase-type distributions
- Pricing credit derivatives under incomplete information: a nonlinear-filtering approach
- Valuation of default-sensitive claims under imperfect information
- Pricing and hedging of credit derivatives via the innovations approach to nonlinear filtering
- A Top-Down Approach to Multiname Credit
- Credit Risk Models with Incomplete Information
- Multivariate Phase-Type Distributions
- COUNTERPARTY RISK FOR CREDIT DEFAULT SWAP WITH STATES RELATED DEFAULT INTENSITY PROCESSES
- PRICING CORPORATE SECURITIES UNDER NOISY ASSET INFORMATION
- Credit Risk Modeling
- Term Structures of Credit Spreads with Incomplete Accounting Information
- Credit risk: Modelling, valuation and hedging
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