Stochastic Processes in Credit Risk Modelling
In credit risk modelling, jump processes are widely used to de- scribe both default and rating migration events. This work is mainly a review of some basic de nitions and properties of the jump processes intended for a preliminary step before more ad- vanced lectures on credit risk modelling. We focus on the Poisson process and some generalisations, like the compounded and the double stochastic Poisson processes, which are widely used for describing the time-inhomogeneous dynamic either of the default process or of the credit rating transition. As such, much of the material is not new, but focused and organized from a credit risk perspective. Moreover it contains detailed proofs of some funda- mental results. Other original contributions come from examples and simulated studies, which help the reader to better understand the features of the described processes.
|Date of creation:||2005|
|Date of revision:|
|Contact details of provider:|| Postal: Via S. Faustino 74/B, 25122 Brescia|
Web page: http://www.unibs.it/atp/page.1019.0.0.0.atp?node=224
More information through EDIRC
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Christian Gourieroux & Alain Monfort, 2002. "“Equidependence in Qualitative and Duration Models with Application to Credit Risk”," Working Papers 2002-51, Centre de Recherche en Economie et Statistique.
- Jarrow, Robert A & Lando, David & Turnbull, Stuart M, 1997. "A Markov Model for the Term Structure of Credit Risk Spreads," Review of Financial Studies, Society for Financial Studies, vol. 10(2), pages 481-523.
- Pierre Druilhet, 2001. "Conditions for Optimality in Experimental Designs," Working Papers 2001-20, Centre de Recherche en Economie et Statistique.
- Joann Jasiak & Christian Gourieroux, 2006. "Autoregressive gamma processes," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 25(2), pages 129-152.
- Philipp J. Schönbucher, 2000. "A Libor Market Model with Default Risk," Bonn Econ Discussion Papers bgse15_2001, University of Bonn, Germany.
- Jarrow, Robert A & Turnbull, Stuart M, 1995. " Pricing Derivatives on Financial Securities Subject to Credit Risk," Journal of Finance, American Finance Association, vol. 50(1), pages 53-85, March.
When requesting a correction, please mention this item's handle: RePEc:ubs:wpaper:ubs0505. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Matteo Galizzi)
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 references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link 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 profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.