Probabilistic Aspects of Default Risk Modeling

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Probabilistic Aspects of Default Risk Modeling

by Tomasz Bielecki of Northeastern Illinois University, and
Marek Rutkowski of the Technical University of Warsaw

1998

Abstract: Various probabilistic techniques, which are used in the modeling of derivative securities (in particular, zero-coupon bonds) that are subject to default risk are presented in a systematic way. A large class of existing models of the defaultable term structure is covered by our analysis, in addition, some new ideas are presented.

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