Geodesic
Dependent defaults and credit migrations
Tomasz R. Bielecki 1   ; Marek Rutkowski 2
1 Mathematics Department The Northeastern Illinois University Chicago, IL 60625-4699, U.S.A.
2 Faculty of Mathematics and Information Science Warsaw University of Technology 00-661 Warszawa, Poland and Institute of Mathematics Polish Academy of Sciences 00-956 Warszawa, Poland
Applicationes Mathematicae, Tome 30 (2003) no. 2, pp. 121-145 Cet article a éte moissonné depuis la source Institute of Mathematics Polish Academy of Sciences

Voir la notice de l'article

The paper deals with the modelling of mutually dependent default times of several credit names through the intensity-based approach. We extend to the case of multiple ratings some previous results due to Schmidt (1998), Kusuoka (1999) and Jarrow and Yu (2001). The issue of the arbitrage valuation of simple basket credit derivatives is also briefly examined. We argue that our approach leads, in some cases, to a significant reduction of the dimensionality of the valuation problem at hand.
DOI : 10.4064/am30-2-1
Keywords: paper deals modelling mutually dependent default times several credit names through intensity based approach extend multiple ratings previous results due schmidt kusuoka jarrow issue arbitrage valuation simple basket credit derivatives briefly examined argue approach leads cases significant reduction dimensionality valuation problem

Tomasz R. Bielecki  1   ; Marek Rutkowski  2

1 Mathematics Department The Northeastern Illinois University Chicago, IL 60625-4699, U.S.A.
2 Faculty of Mathematics and Information Science Warsaw University of Technology 00-661 Warszawa, Poland and Institute of Mathematics Polish Academy of Sciences 00-956 Warszawa, Poland 
@article{10_4064_am30_2_1,
     author = {Tomasz R. Bielecki and Marek Rutkowski},
     title = {Dependent defaults and credit migrations},
     journal = {Applicationes Mathematicae},
     pages = {121--145},
     year = {2003},
     volume = {30},
     number = {2},
     doi = {10.4064/am30-2-1},
     zbl = {1031.60068},
     language = {en},
     url = {http://geodesic.mathdoc.fr/articles/10.4064/am30-2-1/}
}
TY  - JOUR
AU  - Tomasz R. Bielecki
AU  - Marek Rutkowski
TI  - Dependent defaults and credit migrations
JO  - Applicationes Mathematicae
PY  - 2003
SP  - 121
EP  - 145
VL  - 30
IS  - 2
UR  - http://geodesic.mathdoc.fr/articles/10.4064/am30-2-1/
DO  - 10.4064/am30-2-1
LA  - en
ID  - 10_4064_am30_2_1
ER  - 
%0 Journal Article
%A Tomasz R. Bielecki
%A Marek Rutkowski
%T Dependent defaults and credit migrations
%J Applicationes Mathematicae
%D 2003
%P 121-145
%V 30
%N 2
%U http://geodesic.mathdoc.fr/articles/10.4064/am30-2-1/
%R 10.4064/am30-2-1
%G en
%F 10_4064_am30_2_1
Tomasz R. Bielecki; Marek Rutkowski. Dependent defaults and credit migrations. Applicationes Mathematicae, Tome 30 (2003) no. 2, pp. 121-145. doi: 10.4064/am30-2-1

Cité par Sources :