Dependent defaults and credit migrations

DOI10.4064/am30-2-1zbMath1031.60068OpenAlexW1992031270MaRDI QIDQ4425012

Tomasz R. Bielecki, Marek Rutkowski

Publication date: 9 September 2003

Published in: Applicationes Mathematicae (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.4064/am30-2-1

zbMATH Keywords

dependent defaultsarbitrage valuationcredit migrations

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Continuous-time Markov processes on discrete state spaces (60J27)

Related Items (2)

PDE approach to valuation and hedging of credit derivatives ⋮ Conditional Markov chains: properties, construction and structured dependence

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