engleski

Rating based Lévy Libor model

We introduce a model for defaultable forward Libor rates related to defaultable bonds with ratings. As driving processes time-inhomogeneous Lévy processes are used. Credit migration is modeled by a conditional Markov chain, whose properties we study under forward martingale measures.

Libor model; credit rating; Lévy process; conditional Markov chain; forward martingale measure

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