Modeling of the Defaultable Term Structure: Conditionally Markov Approach

IEEE Transactions on Automatic Control

Volumn 49, Issue 3, 2004, Pages 361-373

  Bielecki, Tomasz R ^a   Rutkowski, Marek ^b  

^a Illinois Institute of Technology   (United States)

^b WARSAW UNIVERSITY OF TECHNOLOGY   (Poland)

Author keywords

Conditional Markov chain; Credit migration; Credit risk; Defaultable term structure; Heath Jarrow Morton (HJM) model

Indexed keywords

FINANCE; MATHEMATICAL MODELS; PROBABILITY DISTRIBUTIONS; RELIABILITY; RISK MANAGEMENT; TREES (MATHEMATICS);

CONDITIONAL MARKOV CHAIN; CREDIT MIGRATION; CREDIT RISK; DEFAULTABLE TERM STRUCTURE; HEATH-JARROW-MORTON (HJM) MODEL;

MARKOV PROCESSES;

EID: 1842534541     PISSN: 00189286     EISSN: None     Source Type: Journal    
DOI: 10.1109/TAC.2004.824480     Document Type: Article

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