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

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

Chapter Chapter 5 in Credit Rating Migration Risks in Structure Models, 2024, pp 85-107 from Springer

Abstract: Abstract In this chapter, we show some examples as an application of the Reduced Form/Morkov Chain Model for measuring credit rating migration risks. They are indifference pricing for a bond with credit rating migration, pricing on a credit spread option and pricing on a loan-only CDS.

Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-981-97-2179-5_5

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DOI: 10.1007/978-981-97-2179-5_5

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