Use this URL to cite or link to this record in EThOS: http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.490112
Title: Markov Modulated Poisson Processes in Credit Risk Modelling
Author: Miao, Daniel Wei-Chung
Awarding Body: Oxford
Current Institution: University of Oxford
Date of Award: 2008
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Abstract:
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 chain models are able to approximate closely the diffusion models. On the other hand, their discrete nature provides more modelling flexibility and allows for the incorporation of advanced features. With these benefits they can be applied to a range of credit derivative pricing problems.
Supervisor: Not available Sponsor: Not available
Qualification Name: Thesis (Ph.D.) Qualification Level: Doctoral
EThOS ID: uk.bl.ethos.490112  DOI: Not available
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