AN INFINITE FACTOR MODEL FOR CREDIT RISK

DOI10.1142/S0219024906003482zbMATH Open1137.91502MaRDI QIDQ3379409FDOQ3379409

Thorsten Schmidt

Publication date: 6 April 2006

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

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zbMATH Keywords

random fieldscredit riskratingsforward ratesinfinite dimensional modelsSDE on Hilbert spaces

Mathematics Subject Classification ID

Cites Work

• Title not available (Why is that?)
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Arbitrage Theory in Continuous Time
• Consistency problems for Heath-Jarrow-Morton interest rate models
• THE TERM STRUCTURE OF INTEREST RATES AS A GAUSSIAN RANDOM FIELD
• Credit risk: Modelling, valuation and hedging
• Multiple ratings model of defaultable term structure.
• Credit Risk Modeling
• MODELING TERM STRUCTURE DYNAMICS: AN INFINITE DIMENSIONAL APPROACH

Cited In (6)

• Multiple ratings model of defaultable term structure.
• General dynamic term structures under default risk
• Volatility estimation for stochastic PDEs using high-frequency observations
• Affine models with path-dependence under parameter uncertainty and their application in finance
• Title not available (Why is that?)
• CDO TERM STRUCTURE MODELLING WITH LÉVY PROCESSES AND THE RELATION TO MARKET MODELS

Uses Software

• QRM

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