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)

Full work available at URL https://doi.org/10.1142/S0219024906003482

zbMATH Keywords

credit riskforward ratesinfinite dimensional modelsrandom fieldsratingsSDE on Hilbert spaces

Mathematics Subject Classification ID

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Cites work

• 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
• scientific article; zbMATH DE number 2231189 (Why is no real title available?)
• 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)

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

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• QRM

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