Credit risk modeling with affine processes. (English) Zbl 1418.91569
Semmler, Willi (ed.) et al., The foundations of credit risk analysis. The International Library of Critical Writings in Econometrics 211. Cheltenham: Edward Elgar Publishing. 297-348 (2007).
Summary: This article combines an orientation to credit risk modeling with an introduction to affine Markov processes, which are particularly useful for financial modeling. We emphasize corporate credit risk and the pricing of credit derivatives. Applications of affine processes that are mentioned include survival analysis, dynamic term-structure models, and option pricing with stochastic volatility and jumps. The default-risk applications include default correlation, particularly in first-to-default settings. The reader is assumed to have some background in financial modeling and stochastic calculus.
For the entire collection see [Zbl 1149.91011].
For the entire collection see [Zbl 1149.91011].
MSC:
91G40 | Credit risk |
91G20 | Derivative securities (option pricing, hedging, etc.) |
60H30 | Applications of stochastic analysis (to PDEs, etc.) |