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Credit Risk Modeling

Encyclopedia of Systems and Control

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Abstract

Modeling of credit risk is concerned with constructing and studying formal models of time evolution of credit ratings (credit migrations) in a pool of credit names, and with studying various properties of such models. In particular, this involves modeling and studying default times and their functionals.

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Bibliography

  • We do not give a long list of recommended reading here. That would be in any case incomplete. Up–to–date references can be found on www.defaultrisk.com.

  • Bielecki TR, Rutkowski M (2004) Credit risk: modeling, valuation and hedging. Springer, Berlin

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  • Bielecki TR, Brigo D, Patras F (eds) (2011) Credit risk frontiers: subprime crisis, pricing and hedging, CVA, MBS, ratings and liquidity. Wiley, Hoboken

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  • Bielecki TR, Jakubowski J, NiewÈ©gÅ‚owski M (2013) Intricacies of dependence between components of multivariate Markov chains: weak Markov consistency and Markov copulae. Electron J Probab 18(45):1–21

    MathSciNet  Google Scholar 

  • Bluhm Ch, Overbeck L, Wagner Ch (2010) An introduction to credit risk modeling. Chapman & Hall, Boca Raton

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  • El Karoui N, Jeanblanc M, Jiao Y (2010) What happens after a default: the conditional density approach. SPA 120(7):1011–1032

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  • Schönbucher PhJ (2003) Credit derivatives pricing models. Wiley Finance, Chichester

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Authors and Affiliations

  1. Department of Applied Mathematics, Illinois Institute of Technology, Chicago, IL, USA

    Tomasz R. Bielecki

Authors
  1. Tomasz R. Bielecki
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Correspondence to Tomasz R. Bielecki .

Editor information

Editors and Affiliations

  1. Electrical and Computer Engineering, Boston University, Boston, Massachusetts, USA

    John Baillieul

  2. Automation and Control Solutions, Honeywell, Golden Valley, Minnesota, USA

    Tariq Samad

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© 2014 Springer-Verlag London

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Bielecki, T. (2014). Credit Risk Modeling. In: Baillieul, J., Samad, T. (eds) Encyclopedia of Systems and Control. Springer, London. https://doi.org/10.1007/978-1-4471-5102-9_43-2

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  • DOI: https://doi.org/10.1007/978-1-4471-5102-9_43-2

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  • Publisher Name: Springer, London

  • Online ISBN: 978-1-4471-5102-9

  • eBook Packages: Springer Reference EngineeringReference Module Computer Science and Engineering

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Chapter history

  1. Latest

    Credit Risk Modeling
    Published:
    23 December 2020

    DOI: https://doi.org/10.1007/978-1-4471-5102-9_43-3

  2. Credit Risk Modeling
    Published:
    04 April 2014

    DOI: https://doi.org/10.1007/978-1-4471-5102-9_43-2

  3. Original

    Credit Risk Modeling
    Published:
    05 October 2013

    DOI: https://doi.org/10.1007/978-1-4471-5102-9_43-1

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