BFS 2002

Contributed Talk

Dependent Defaults and Credit Migrations

Marek Rutkowski, Tomasz Bielecki

New results generalizing the work of Jarrow and Yu (2001) are derived. These results regard modeling of mutually dependent default times of several credit names. They also regard valuation of some related defaultable credit instruments. In addition, we study dependent credit migrations and valuation issues of related credit instruments in a analogous framework.