Credit risk: Calibration of PD term structures: to be Markov or not to be - A common discussion in credit risk modelling is the question of whether term structures of default probabilities can be satisfactorily modelled by Markov chain techniques. The authors show that empirical multi-year default frequencies can be interpolated well by continuous-time Markov chains if the Markov chain is allowed ...
| Year of publication: |
2007
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| Authors: | Bluhm, Christian ; Overbeck, Ludger |
| Published in: |
Risk : managing risk in the world's financial markets. - London : Incisive Financial Publ, ISSN 0952-8776, ZDB-ID 10494753. - Vol. 20.2007, 11, p. 98-103
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