AN INFINITE FACTOR MODEL FOR CREDIT RISK

DOI10.1142/S0219024906003482MaRDI QIDQ3379409zbMATH OpenFDO

Authors Thorsten Schmidt

Publication date 6 April 2006

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

random fieldscredit riskratingsforward ratesinfinite dimensional modelsSDE on Hilbert spaces

Mathematics Subject Classification ID

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Cites work

• scientific article; zbMATH DE number 2231189 (Why is no real title available?)
• Arbitrage Theory in Continuous Time
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Consistency problems for Heath-Jarrow-Morton interest rate models
• Credit Risk Modeling
• Credit risk: Modelling, valuation and hedging
• MODELING TERM STRUCTURE DYNAMICS: AN INFINITE DIMENSIONAL APPROACH
• Multiple ratings model of defaultable term structure.
• THE TERM STRUCTURE OF INTEREST RATES AS A GAUSSIAN RANDOM FIELD

Cited in

(7)

• Multiple ratings model of defaultable term structure.
• General dynamic term structures under default risk
• CDO term structure modelling with Lévy processes and the relation to market models
• Volatility estimation for stochastic PDEs using high-frequency observations
• Asymptotic expansion for term structures of defaultable bonds with non-Gaussian dependent innovations
• Affine models with path-dependence under parameter uncertainty and their application in finance
• scientific article; zbMATH DE number 1642332 (Why is no real title available?)

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