Credit risk modelling: intensity based approach
The paper under the review consists the survey of recent results in credit risk modelling connected with mathematical modelling of pricing and hedging of defalt-prone debt instruments on the base of intensity and rating based approaches. Some important types of credit derivatives are presented and methods of their pricing on the base of approach developed by the authors are considered in details. The structure of the paper is the following: 1. Introduction. 2.Credit derivatives (overview of instruments, market pricing methods). 3. Valuation of defaultable claims (fundamental results which can be obtained using the intensity-based approach). 4. Alternative recovery schemes (exogenous recovery rates and rules). 5. Credit-ratings-based Markov model (discrete and continuous time). 6. Modelling with state variables. 7. Credit-spreads-based HJM type model (single credit rating case, alternative specification of recovery payment, multiple credit ratings case, market prices of interest rate and credit risk, model parameters, valuation of credit derivatives).NEWLINENEWLINEVladimir G. Skobelev (Donetsk)NEWLINENEWLINEFor the entire collection see [Zbl 0967.91001].
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