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Risk Measures and Management in Finance and Actuarial Science Under Regime-Switching Models

Title
Risk Measures and Management in Finance and Actuarial Science Under Regime-Switching Models
Funding
ARC | Discovery Projects
Contract (GA) number
DP1096243
Start Date
2010/01/01
End Date
2012/12/31
Open Access mandate
no
Organizations
-
More information
http://purl.org/au-research/grants/arc/DP1096243

 

  • A Markov Regime-Switching Marked Point Process for Short-Rate Analysis with Credit Risk

    We investigate a Markov, regime-switching, marked point process for the short-term interest rate in a market. The intensity of the marked point process is a bounded, predictable process and is modulated by two observable factors. One is an economic factor described by a diffusion process, and another one is described by a Markov chain. The states of the chain are interpreted as different rating categories of corporate credit ratings issued by rating agencies. We consider a general pricing ker...
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