Abstract
Modeling of credit risk is concerned with constructing and studying formal models of time evolution of credit ratings (credit migrations) in a pool of credit names, and with studying various properties of such models. In particular, this involves modeling and studying default times and their functionals.
Similar content being viewed by others
Bibliography
We do not give a long list of recommended reading here. That would be in any case incomplete. Up–to–date references can be found on www.defaultrisk.com.
Bielecki TR, Rutkowski M (2004) Credit risk: modeling, valuation and hedging. Springer, Berlin
Bielecki TR, Brigo D, Patras F (eds) (2011) Credit risk frontiers: subprime crisis, pricing and hedging, CVA, MBS, ratings and liquidity. Wiley, Hoboken
Bielecki TR, Jakubowski J, Niewȩgłowski M (2013) Intricacies of dependence between components of multivariate Markov chains: weak Markov consistency and Markov copulae. Electron J Probab 18(45):1–21
Bluhm Ch, Overbeck L, Wagner Ch (2010) An introduction to credit risk modeling. Chapman & Hall, Boca Raton
El Karoui N, Jeanblanc M, Jiao Y (2010) What happens after a default: the conditional density approach. SPA 120(7):1011–1032
Schönbucher PhJ (2003) Credit derivatives pricing models. Wiley Finance, Chichester
Author information
Authors and Affiliations
Corresponding author
Editor information
Editors and Affiliations
Rights and permissions
Copyright information
© 2014 Springer-Verlag London
About this entry
Cite this entry
Bielecki, T. (2014). Credit Risk Modeling. In: Baillieul, J., Samad, T. (eds) Encyclopedia of Systems and Control. Springer, London. https://doi.org/10.1007/978-1-4471-5102-9_43-2
Download citation
DOI: https://doi.org/10.1007/978-1-4471-5102-9_43-2
Received:
Accepted:
Published:
Publisher Name: Springer, London
Online ISBN: 978-1-4471-5102-9
eBook Packages: Springer Reference EngineeringReference Module Computer Science and Engineering
Publish with us
Chapter history
-
Latest
Credit Risk Modeling- Published:
- 23 December 2020
DOI: https://doi.org/10.1007/978-1-4471-5102-9_43-3
-
Credit Risk Modeling
- Published:
- 04 April 2014
DOI: https://doi.org/10.1007/978-1-4471-5102-9_43-2
-
Original
Credit Risk Modeling- Published:
- 05 October 2013
DOI: https://doi.org/10.1007/978-1-4471-5102-9_43-1