Dynamic Term Structure Models with Ratings

Speaker(s): 
Thorsten Schmidt (Technische Universität Chemnitz)
Date: 
Thursday, December 1, 2011 - 5:15pm
Location: 
Rudower Chaussee 25, Room 1.115

Empirical investigations about rating transitions show typically a non-Markovian behavior. We take this as a motivation to generalize existing models and determine conditions for absence of arbitrage in a general forward rate model. This is the starting point for explicit modeling approaches and we propose a semi-Markovian model and discuss open questions. This is joint work with J. Jakubowski and M. Nieweglowski.