In this paper, we build a bridge between different reduced-form approaches to pricing defaultable claims. In particular, we showhow the well known formulas by Duffie et al. [12] and by Elliott et al.[14] are related. Moreover, in the spirit of Collin Dufresne et al. [8], wepropose a simple...

We consider the modelling of credit migration risk and the pricing of migration derivativesour approach enlarges the traditional setup where credit risk is based on default solely.We implement the Regime Shifting Markov Mixture model developed in Andersson (2007)and Andersson and Vanini (2008)...

We consider the modelling of credit migration risk and the pricing of migrationderivatives. To construct a Point-in-Time (PIT) rating migration matrix as the underlyingvalue for derivative pricing we show first that the Affine Markov Chain models isnot sufficient to generate PIT migration...