We consider the modelling of credit migration risk and the pricing of migration derivativesour approach enlarges the traditional setup where credit risk is based on default solely.We implement the Regime Shifting Markov Mixture model developed in Andersson (2007)and Andersson and Vanini (2008)...

We consider the modelling of credit migration risk and the pricing of migrationderivatives. To construct a Point-in-Time (PIT) rating migration matrix as the underlyingvalue for derivative pricing we show first that the Affine Markov Chain models isnot sufficient to generate PIT migration...

In this thesis I develop a model for describing the dynamic behavior of Credit Migration Matrices under a Point-in-time Rating Philosophy. Characteristics of the yearly Migration Matrices following a Point-in-Time Philosophy are presented. Through the introduction of the concept of Rating...

We consider the modelling of credit migration risk and the pricing of migration derivatives. This enlarges the traditional setup where credit risk is based on a specificate migration state, i.e. the default one. To construct a Point-in-Time rating migration matrix as underlying value for the...

We investigate the properties of Johansen''s (1988, 1991) maximum eigenvalue and trace tests for cointegration under the empirically relevant situation of near-integrated variables. Using Monte Carlo techniques, we show that in a system with near-integrated variables, the probability of reaching...

We use Bayesian estimation techniques to investigate whether money growth Granger-causes inflation in the United States. We test for Granger-causality out-of-sample and find, perhaps surprisingly given recent theoretical arguments, that including money growth in simple VAR models of inflation...