Markov Modulated Poisson Processes in Credit Risk Modelling
In this thesis, we use the Markov Modulated Poisson Process (MMPP) to model default arrival, a central issue of credit risk modelling. We work within the framework of reduced-form models to describe default rates as Markov chains, as an alternative to diffusion-based models. On one hand, the Markov...
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University of Oxford
2008
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| Online Access: | http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.490112 |