A Markov regime-switching marked point process for short-rate analysis with credit risk (Q611051): Difference between revisions
From MaRDI portal
Created claim: Wikidata QID (P12): Q58651970, #quickstatements; #temporary_batch_1710862453543 |
Set OpenAlex properties. |
||
Property / OpenAlex ID | |||
Property / OpenAlex ID: W2009171974 / rank | |||
Normal rank |
Revision as of 23:38, 19 March 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | A Markov regime-switching marked point process for short-rate analysis with credit risk |
scientific article |
Statements
A Markov regime-switching marked point process for short-rate analysis with credit risk (English)
0 references
14 December 2010
0 references
Summary: We investigate a Markov, regime-switching, marked point process for the short-term interest rate in a market. The intensity of the marked point process is a bounded, predictable process and is modulated by two observable factors. One is an economic factor described by a diffusion process, and another one is described by a Markov chain. The states of the chain are interpreted as different rating categories of corporate credit ratings issued by rating agencies. We consider a general pricing kernel which can explicitly price economic, market, and credit risks. It is shown that the price of a pure discount bond satisfies a system of coupled partial differential-integral equations under a risk-adjusted measure.
0 references