Special issue credit risk modelling

Credit Migration Risk Modelling

We consider the modelling of credit migration risk and the pricing of migration derivatives. To construct a Point-in-Time (PIT) rating migration matrix as the underlying value for derivative pricing we show first that the Affine Markov Chain models is not sufficient to generate PIT migration matrices in both, an economic boom and contraction. We show that the introduction of rating direction an...

Special Issue

Credit Risk Modelling and Quantification

CREDIT RISK MODELLING AND QUANTIFICATION Credit risk modelling and quantification is a very crucial issue in bank management and has become more popular among practitioners and academicians in recent years because of the changes and developments in banking and financial systems. CreditMetrics of J.P. Morgan, KMV Portfolio Manager, CreditRisk+ of Credit Suisse First Boston, and McKinsey’s Credit...

Functional‒Structural Plant Modelling Special Issue

Most available models for plant cell division are limited to symmetric division with isotropic growth, and often the actual growth of the cell wall is either not considered or is only updated intermittently in a separate time scale from that of the cell expansion mechanics. Abera et al. develop a generic plant cell division algorithm based on biomechanics and ellipse fitting and compare the res...

Reduced form modelling for credit risk

The purpose of this paper is to present in a unified context the reduced form modelling approach, in which a credit event is modelled as a totally inaccessible stopping time. Once the general framework is introduced (frequently referred to as “pure intensity” set-up), we focus on the special case where the full information at the disposal of the traders may be split in two sub-filtrations, one ...