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 classical contagion models, default systems are Markovian conditionally on the observation of their stochastic environment, with interacting intensities. This necessitates that the environment evolves autonomously and is not influenced by the history of the default events. We extend the...

In classical contagion models, default systems are Markovian conditionally on the observation of their stochastic environment, with interacting intensities. This necessitates that the environment evolves autonomously and is not influenced by the history of the default events. We extend the...