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

scholarly journals CREDIT RISK AND INCOMPLETE INFORMATION: FILTERING AND EM PARAMETER ESTIMATION

2010 ◽  
Vol 13 (05) ◽  
pp. 683-715 ◽  
Author(s):  
CLAUDIO FONTANA ◽  
WOLFGANG J. RUNGGALDIER
Keyword(s):  
Parameter Estimation ◽  
Credit Risk ◽  
Financial Market ◽  
Risk Model ◽  
Information Filtering ◽  
Credit Spreads ◽  
Reduced Form ◽  
Contagion Effect ◽  
Credit Risk Model ◽  
Filtering Approach

We consider a reduced-form credit risk model where default intensities and interest rate are functions of a not fully observable Markovian factor process, thereby introducing an information-driven default contagion effect among defaults of different issuers. We determine arbitrage-free prices of OTC products coherently with information from the financial market, in particular yields and credit spreads and this can be accomplished via a filtering approach coupled with an EM-algorithm for parameter estimation.

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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