Credit Rating Migration Risks in Structure Models

Jin Liang () and Bei Hu ()
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Jin Liang: Tongji University, School of Mathematical Science
Bei Hu: University of Notre Dame, Applied and Computational Mathematics and Statistics

in Springer Books from Springer

Date: 2024
ISBN: 978-981-97-2179-5
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Chapters in this book:

Ch Chapter 1 Financial Background

Jin Liang and Bei Hu

Ch Chapter 10 Numerical Simulation, Calibration and Recover of Credit Boundary

Jin Liang and Bei Hu

Ch Chapter 2 Preliminary Mathematical Theory

Jin Liang and Bei Hu

Ch Chapter 3 Mathematical Models for Measuring Default Risks

Jin Liang and Bei Hu

Ch Chapter 4 Markov Chain Approach for Measuring Credit Rating Migration Risks

Jin Liang and Bei Hu

Ch Chapter 5 Credit Rating Migration Model: An Application Based on Reduced Form and/or Markov Chain Frameworks

Jin Liang and Bei Hu

Ch Chapter 6 Structure Models for Measuring Credit Rating Migration Risks

Jin Liang and Bei Hu

Ch Chapter 7 Theoretical Results in the Structural Credit Rating Migration Models

Jin Liang and Bei Hu

Ch Chapter 8 Extensions for Structural Credit Rating Migration Models

Jin Liang and Bei Hu

Ch Chapter 9 Credit Derivatives Related to Rating Migrations

Jin Liang and Bei Hu

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DOI: 10.1007/978-981-97-2179-5

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