A simple model for credit migration and spread curves

Finance and Stochastics

Volumn 9, Issue 2, 2005, Pages 211-231

  Chen, Li ^a   Filipović, Damir ^b  

^a Princeton University   (United States)

^b Federal Office of Private Insurance   (Switzerland)

Author keywords

Affine process; Credit risk model; Equivalent change of measure

Indexed keywords

EID: 17444419041     PISSN: 09492984     EISSN: None     Source Type: Journal    
DOI: 10.1007/s00780-004-0140-9     Document Type: Article

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