This paper presents a credit migration model that aims to consistently capture the point-in-time dynamics of the credit worthiness of debt issuers and their obligations, and a calibration routine that permits the model to effectively fit historical ratings data. Our approach is to view the...

This paper presents a framework to model correlated default events that can be used to price and hedge standard and exotic credit baskets whose values depend on the realized losses of a default portfolio. The model consists of parametric continuous time Markov chain and aims to accurately...

We develop a new class of techniques that takes a copula function and quantifies the dependence properties through a localized coefficient of dependence in the state space. Effectively we develop a numerical procedure to map any copula function to a generalized Gaussian copula function. This...

This working paper contains facts and introductory concepts about Markov Chain Monte Carlo (MCMC) methods and algorithms. The aim is to provide the reader with a general introduction to the MCMC framework