Valuation of Basket Credit Derivatives in the Credit Migrations Environment
نویسندگان
چکیده
The goal of this work is to present a methodology aimed at valuation and hedging of basket credit derivatives, as well as of portfolios of credits/loans, in the context of several possible credit ratings of underlying credit instruments. The methodology is based on a specific Markovian model of a financial market. The research of T.R. Bielecki was supported by NSF Grant 0202851 and Moody’s Corporation grant 5-55411. The research of S. Crépey was supported by Zéliade The research of M. Jeanblanc was supported by Zéliade and Moody’s Corporation grant 5-55411. The research of M. Rutkowski was supported by the 2005 Faculty Research Grant PS06987.
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