Study of Credit Risk with Stochastic Default Intensity Based on Markov Chain

被引：0

作者：

Jia, Xujie ^{[1
]}

Liu, Zhengyuan ^{[2
]}

机构：

[1] Beijing Inst Technol, Sch Management & Econ, Beijing 100081, Peoples R China

[2] Acad Equipment Comand Technol, Dept Equipment Command, Beijing, Peoples R China

来源：

2008 4TH INTERNATIONAL CONFERENCE ON WIRELESS COMMUNICATIONS, NETWORKING AND MOBILE COMPUTING, VOLS 1-31 | 2008年

关键词：

credit risk; default intensity; credit rating; default probability; Markov chain;

D O I：

暂无

中图分类号：

TN [电子技术、通信技术];

学科分类号：

0809 ;

摘要：

Under the condition of stochastic default intensity, correlation of default intensity and default-free interest rate, the paper constructed the term structure model of credit risk. A Markov chain based method is proposed for analyzing the credit risk. Based on reliability interference theory, we get the indexes such as the default probability, the mean time to the first default, steady probability vector of the credit rating and so on. By introducing the model series system in reliability into the studies of credit risk, the paper constructed a portfolio model with several bonds, and got the solution. The results from this study are of value in credit risk management. They can be used in evaluating and measuring the performance of credit risk and can provide significant help and guidance.

引用

页码：10729 / +

页数：2

共 50 条

[31] Hedging of a credit default swaption in the CIR default intensity model
Tomasz R. Bielecki
Monique Jeanblanc
Marek Rutkowski
Finance and Stochastics, 2011, 15 : 541 - 572
[32] Hedging of a credit default swaption in the CIR default intensity model
Bielecki, Tomasz R.
Jeanblanc, Monique
Rutkowski, Marek
FINANCE AND STOCHASTICS, 2011, 15 (03) : 541 - 572
[33] The Empirical Study on the Credit Risk Discrimination of Listed SMEs Based on the Distance to Default
Tang, Zhenpeng
2009 6TH INTERNATIONAL CONFERENCE ON SERVICE SYSTEMS AND SERVICE MANAGEMENT, VOLS 1 AND 2, 2009, : 927 - 931
[34] Evolutionary Estimation of a Coupled Markov Chain Credit Risk Model
Hochreiter, Ronald
Wozabal, David
NATURAL COMPUTING IN COMPUTATIONAL FINANCE, VOL 3, 2010, 293 : 31 - +
[35] Markov Chain Models for Farm Credit Risk Migration Analysis
Deng, Xiaohui
Fscalante, Cesar L.
Barry, Peter J.
Yu, Yingzhuo
AGRICULTURAL FINANCE REVIEW, 2007, 67 (01) : 99 - +
[36] Risk assessment for credit portfolios: A coupled Markov chain model
Kaniovski, Y. M.
Pflug, G. Ch.
JOURNAL OF BANKING & FINANCE, 2007, 31 (08) : 2303 - 2323
[37] CREDIT RATIONING AND DEFAULT RISK
GOULVESTRE, JP
REVUE ECONOMIQUE, 1980, 31 (03): : 465 - 504
[38] The risk of default and credit insurance
Sferdian, I
SECOND WORLD CONGRESS ON RESILIENCE: FROM PERSON TO SOCIETY, 2014, : 921 - 924
[39] Analysis of credit ABS based on Markov chain approaches
Liu, Fengming
Song, Yingda
FINANCE RESEARCH LETTERS, 2024, 71
[40] Smile and default: the role of stochastic volatility and interest rates in counterparty credit risk
Simaitis, S.
de Graaf, C. S. L.
Hari, N.
Kandhai, D.
QUANTITATIVE FINANCE, 2016, 16 (11) : 1725 - 1740

← 1 2 3 4 5 →