CREDIT RISK VALUATION WITH RATING TRANSITIONS AND PARTIAL INFORMATION

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)

zbMATH Keywords

credit derivativesphase-type distributionscorporate bondscredit migrations modelspartial and delayed information

Mathematics Subject Classification ID

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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