AN INFINITE FACTOR MODEL FOR CREDIT RISK

DOI10.1142/S0219024906003482zbMath1137.91502MaRDI QIDQ3379409

Thorsten Schmidt

Publication date: 6 April 2006

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

random fieldscredit riskratingsforward ratesinfinite dimensional modelsSDE on Hilbert spaces

Mathematics Subject Classification ID

Related Items (3)

General dynamic term structures under default risk ⋮ CDO TERM STRUCTURE MODELLING WITH LÉVY PROCESSES AND THE RELATION TO MARKET MODELS ⋮ Volatility estimation for stochastic PDEs using high-frequency observations

Uses Software

• QRM

Cites Work

• Unnamed Item
• Multiple Ratings Model of Defaultable Term Structure
• MODELING TERM STRUCTURE DYNAMICS: AN INFINITE DIMENSIONAL APPROACH
• Credit Risk Modeling
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• THE TERM STRUCTURE OF INTEREST RATES AS A GAUSSIAN RANDOM FIELD
• Arbitrage Theory in Continuous Time
• Consistency problems for Heath-Jarrow-Morton interest rate models
• Credit risk: Modelling, valuation and hedging

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