Title :
Modeling of the defaultable term structure: conditionally Markov approach
Author :
Bielecki, Tomasz R. ; Rutkowski, Marek
Author_Institution :
Dept. of Appl. Math., Illinois Inst. of Technol., Chicago, IL, USA
fDate :
3/1/2004 12:00:00 AM
Abstract :
This paper provides a detailed technical description of the Bielecki and Rutkowski approach to the Heath-Jarrow-Morton type modeling of defaultable term structure of interest rates with multiple ratings. Special emphasis is put on the arbitrage-free feature of the model, as well as on the explicit construction of the conditionally Markov process of credit migrations.
Keywords :
Markov processes; economic indicators; stock markets; Bielecki and Rutkowski approach; Heath-Jarrow-Morton type modeling; arbitrage-free model feature; conditionally Markov process; credit migrations; defaultable term structure; interest rates; multiple ratings; Cost accounting; Economic indicators; Hazards; Information science; Instruments; Markov processes; Mathematical model; Mathematics; Portfolios; Risk management;
Journal_Title :
Automatic Control, IEEE Transactions on
DOI :
10.1109/TAC.2004.824480