Markov Chain Models of Portfolio Credit Risk

Tomasz R. Bielelcki · Stéphane Crépey · Alexander Herbertsson

24 citations0/0 files storedOxford University Press eBooks

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Stochastic processes and financial applications Credit Risk and Financial Regulations Risk and Portfolio Optimization

Abstract

Abstract This article reviews a selection of methods and results for various applications of the theory of continuous time Markov chains to valuation of credit derivatives. Section 2 begins with a review of some basic notions and results from the theory of continuous-time Markov chains. Sections 3 to 5 are devoted to the study of a few specific Markovian models of portfolio credit risk.

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References

1987Applied Probability and Queues 1984Matrix-Geometric Solutions to Stochastic Models 1997A Markov Model for the Term Structure of Credit Risk Spreads 1983Point Processes and Queues: Martingale Dynamics.2004Credit Risk: Modeling, Valuation and Hedging 2001Stochastic Processes for Insurance and Finance 1999Stochastic Processes for Insurance and Finance 1984The Randomization Technique as a Modeling Tool and Solution Procedure for Transient Markov Processes

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