화학공학소재연구정보센터
IEEE Transactions on Automatic Control, Vol.49, No.3, 361-373, 2004
Modeling of the defaultable term structure: Conditionally Markov approach
This paper provides a detailed technical description of the Bielecki and Rutkowski approach to the Heath-Jarrow-Morton type modeling of defaultable term structure of interest rates with multiple ratings. Special emphasis is put on the arbitrage-free feature of the model, as well as on the explicit construction of the conditionally Markov process of credit migrations.