Study of Credit Risk with Stochastic Default Intensity Based on Markov Chain

@article{Jia2008StudyOC,
  title={Study of Credit Risk with Stochastic Default Intensity Based on Markov Chain},
  author={Xujie Jia and Zhengyuan Liu},
  journal={2008 4th International Conference on Wireless Communications, Networking and Mobile Computing},
  year={2008},
  pages={1-4}
}
Under the condition of stochastic default intensity, correlation of default intensity and default-free interest rate, the paper constructed the term structure model of credit risk. A Markov chain based method is proposed for analyzing the credit risk Based on reliability interference theory, we get the indexes such as the default probability, the mean time… CONTINUE READING