Markov Chain Models of Portfolio Credit Risk
نویسندگان
چکیده
2 Continuous-Time Markov Chains 3 2.1 Time-homogeneous chains . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4 2.2 Time-inhomogeneous chains . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5 2.3 Embedded Discrete-Time Markov Chain . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7 2.4 Conditional Expectations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8 2.5 Probability Distribution of the Absorption Time . . . . . . . . . . . . . . . . . . . . . . . . 9 2.6 Martingales Associated with Transitions . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10 2.7 Change of a Probability Measure . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11
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