Information reduction via level crossings in a credit risk model

2007 ◽  
Vol 11 (2) ◽  
pp. 195-212 ◽  
Author(s):  
Robert A. Jarrow ◽  
Philip Protter ◽  
A. Deniz Sezer
Keyword(s):  
Credit Risk ◽  
Risk Model ◽  
Level Crossings ◽  
Information Reduction ◽  
Credit Risk Model

Replication of Contingent Claims in a Reduced-Form Credit Risk Model with Discontinuous Asset Prices

2006 ◽  
Vol 22 (4) ◽  
pp. 661-687 ◽  
Author(s):  
Tomasz R. Bielecki ◽  
Monique Jeanblanc ◽  
Marek Rutkowski
Keyword(s):  
Credit Risk ◽  
Asset Prices ◽  
Risk Model ◽  
Contingent Claims ◽  
Reduced Form ◽  
Credit Risk Model

A HMM Intensity-Based Credit Risk Model and Filtering

2013 ◽  
pp. 169-184 ◽  
Author(s):  
Robert J. Elliott ◽  
Tak Kuen Siu
Keyword(s):  
Credit Risk ◽  
Risk Model ◽  
Credit Risk Model
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