Credit risk modelling: intensity based approach

MaRDI QIDQ2771112zbMATH OpenFDO

Authors Tomasz R. Bielecki, Marek Rutkowski

Publication date 14 February 2002

zbMATH Keywords

credit risk modellinghedgingpricingrecovery schemes

Mathematics Subject Classification ID

Recommendations

• scientific article; zbMATH DE number 2144815
• Credit risk: Modelling, valuation and hedging
• Pricing and hedging of credit derivatives in a model with interacting default intensities: A Markovian approach.
• Multiple ratings model of defaultable term structure.
• scientific article; zbMATH DE number 2096687

Cited in

(7)

• Non-zero-sum stochastic differential reinsurance and investment games with default risk
• Analysis of credit event impact with self-exciting intensity model
• Pricing and hedging of credit derivatives in a model with interacting default intensities: A Markovian approach.
• Default barrier intensity model for credit risk evaluation
• scientific article; zbMATH DE number 2144815 (Why is no real title available?)
• Defaultable Bond markets with jumps
• Invariance times transfer properties

This page was built for publication: Credit risk modelling: intensity based approach

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2771112)