Article

Markov Chain Models of Portfolio Credit Risk

Tomasz R. Bielelcki, Stéphane Crépey and Alexander Herbertsson

in The Oxford Handbook of Credit Derivatives

Published in print January 2011 | ISBN: 9780199546787
Published online September 2012 | | DOI: http://dx.doi.org/10.1093/oxfordhb/9780199546787.013.0010

Series: Oxford Handbooks in Finance

 Markov Chain Models of Portfolio Credit Risk

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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.

Keywords: Markov chains; valuation; credit derivatives

Article.  26058 words. 

Subjects: Economics ; Financial Markets ; Econometric and Statistical Methods and Methodology: General

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