IDEAS home Printed from https://ideas.repec.org/a/wsi/ijtafx/v09y2006i01ns0219024906003482.html
   My bibliography  Save this article

An Infinite Factor Model For Credit Risk

Author

Listed:
  • THORSTEN SCHMIDT

    (Department of Mathematics, University of Leipzig, Augustusplatz 10/11, D-04109 Leipzig, Germany)

Abstract

The defaultable term structure is modeled using stochastic differential equations in Hilbert spaces. This leads to an infinite dimensional model, which is free of arbitrage under a certain drift condition. Furthermore, the model is extended to incorporate ratings based on a Markov chain.

Suggested Citation

  • Thorsten Schmidt, 2006. "An Infinite Factor Model For Credit Risk," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 9(01), pages 43-68.
    • Handle: RePEc:wsi:ijtafx:v:09:y:2006:i:01:n:s0219024906003482
    DOI: 10.1142/S0219024906003482
    as

    Download full text from publisher

    File URL: http://www.worldscientific.com/doi/abs/10.1142/S0219024906003482
    Download Restriction: Access to full text is restricted to subscribers
    File URL: https://libkey.io/10.1142/S0219024906003482?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. M. De Donno & M. Pratelli, 2006. "A theory of stochastic integration for bond markets," Papers math/0602532, arXiv.org.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Fontana, Claudio & Schmidt, Thorsten, 2018. "General dynamic term structures under default risk," Stochastic Processes and their Applications, Elsevier, vol. 128(10), pages 3353-3386.
    2. Claudio Fontana & Thorsten Schmidt, 2016. "General dynamic term structures under default risk," Papers 1603.03198, arXiv.org, revised Nov 2017.
    3. Bibinger, Markus & Trabs, Mathias, 2020. "Volatility estimation for stochastic PDEs using high-frequency observations," Stochastic Processes and their Applications, Elsevier, vol. 130(5), pages 3005-3052.
    4. Özkan Fehmi & Schmidt Thorsten, 2005. "Credit risk with infinite dimensional Lévy processes," Statistics & Risk Modeling, De Gruyter, vol. 23(4/2005), pages 281-299, April.
    5. Valerii Maltsev & Michael Pokojovy, 2021. "Applying Heath-Jarrow-Morton Model to Forecasting the US Treasury Daily Yield Curve Rates," Mathematics, MDPI, vol. 9(2), pages 1-25, January.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Constantinos Kardaras, 2011. "On the closure in the Emery topology of semimartingale wealth-process sets," Papers 1108.0945, arXiv.org, revised Jul 2013.
    2. Bruno Bouchard & Erik Taflin, 2010. "No-arbitrage of second kind in countable markets with proportional transaction costs," Papers 1008.3276, arXiv.org, revised Feb 2013.
    3. Alberto Ohashi, 2008. "Fractional term structure models: No-arbitrage and consistency," Papers 0802.1288, arXiv.org, revised Sep 2009.
    4. Kardaras, Constantinos, 2013. "On the closure in the Emery topology of semimartingale wealth-process sets," LSE Research Online Documents on Economics 44996, London School of Economics and Political Science, LSE Library.
    5. Claudio Fontana & Zorana Grbac & Sandrine Gumbel & Thorsten Schmidt, 2018. "Term structure modeling for multiple curves with stochastic discontinuities," Papers 1810.09882, arXiv.org, revised Dec 2019.
    6. Claudio Fontana & Thorsten Schmidt, 2016. "General dynamic term structures under default risk," Papers 1603.03198, arXiv.org, revised Nov 2017.
    7. Kühn, Christoph & Stroh, Maximilian, 2013. "Continuous time trading of a small investor in a limit order market," Stochastic Processes and their Applications, Elsevier, vol. 123(6), pages 2011-2053.
    8. Yushi Hamaguchi, 2018. "BSDEs driven by cylindrical martingales with application to approximate hedging in bond markets," Papers 1806.04025, arXiv.org.
    9. Scott Robertson & Konstantinos Spiliopoulos, 2014. "Indifference pricing for Contingent Claims: Large Deviations Effects," Papers 1410.0384, arXiv.org, revised Feb 2016.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wsi:ijtafx:v:09:y:2006:i:01:n:s0219024906003482. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Tai Tone Lim (email available below). General contact details of provider: http://www.worldscinet.com/ijtaf/ijtaf.shtml .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.