AN INFINITE FACTOR MODEL FOR CREDIT RISK

The defaultable term structure is modeled using stochastic differential equations in Hilbert spaces. This leads to an infinite dimensional model, which is free of arbitrage under a certain drift condition. Furthermore, the model is extended to incorporate ratings based on a Markov chain.

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Year of publication:	2006
Authors:	SCHMIDT, THORSTEN
Published in:	International Journal of Theoretical and Applied Finance (IJTAF). - World Scientific Publishing Co. Pte. Ltd., ISSN 1793-6322. - Vol. 09.2006, 01, p. 43-68
Publisher:	World Scientific Publishing Co. Pte. Ltd.
Subject:	Credit risk \| forward rates \| SDE on Hilbert spaces \| infinite dimensional models \| ratings \| random fields

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Extent:	application/pdf text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10004971737