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Author Karolik, Anatoli
Title Modeling correlated credit rating migrations
book jacket
Descript 120 p
Note Source: Dissertation Abstracts International, Volume: 67-03, Section: B, page: 1471
Adviser: Steven E. Shreve
Thesis (Ph.D.)--Carnegie Mellon University, 2006
Credit risk area is one of the most rapidly developing areas in finance. Constantly appearing new credit instruments as well as increasing volume of transactions produce great demand for models that could help to value and manage the risk. The existing credit migration models, however, have a number of shortcomings which make them not very useful in practice. A new model is proposed in this document, which mitigates and eliminates many of the problems in the existing models. High emphasis in this document is placed on studying the properties of the models as well as on analyzing of the introduced dependence between credit rating dynamics. Applications of the model include dynamic pricing and risk assessment of bond and loan books as well as numerous credit derivatives
School code: 0041
Host Item Dissertation Abstracts International 67-03B
Subject Mathematics
Economics, Finance
Alt Author Carnegie Mellon University
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