Economics at your fingertips  

Stochastic Processes in Credit Risk Modelling

Roberto Casarin ()

Working Papers from University of Brescia, Department of Economics

Abstract: In credit risk modelling, jump processes are widely used to de- scribe both default and rating migration events. This work is mainly a review of some basic de nitions and properties of the jump processes intended for a preliminary step before more ad- vanced lectures on credit risk modelling. We focus on the Poisson process and some generalisations, like the compounded and the double stochastic Poisson processes, which are widely used for describing the time-inhomogeneous dynamic either of the default process or of the credit rating transition. As such, much of the material is not new, but focused and organized from a credit risk perspective. Moreover it contains detailed proofs of some funda- mental results. Other original contributions come from examples and simulated studies, which help the reader to better understand the features of the described processes.

New Economics Papers: this item is included in nep-fmk and nep-rmg
Date: 2005
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link) ... o/documento4571.html
Our link check indicates that this URL is bad, the error code is: 404 Not Found ( [302 Found]-->

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Access Statistics for this paper

More papers in Working Papers from University of Brescia, Department of Economics Contact information at EDIRC.
Bibliographic data for series maintained by Matteo Galizzi ().

Page updated 2019-09-17
Handle: RePEc:ubs:wpaper:ubs0505