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.
Bibliography
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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.
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Bielecki, T.R. (2021). 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_43-3
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DOI: https://doi.org/10.1007/978-1-4471-5102-9_43-3
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Latest
Credit Risk Modeling- Published:
- 23 December 2020
DOI: https://doi.org/10.1007/978-1-4471-5102-9_43-3
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Credit Risk Modeling
- Published:
- 04 April 2014
DOI: https://doi.org/10.1007/978-1-4471-5102-9_43-2
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Original
Credit Risk Modeling- Published:
- 05 October 2013
DOI: https://doi.org/10.1007/978-1-4471-5102-9_43-1