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date: 22 July 2019

Abstract and Keywords

This article reviews a selection of methods and results for various applications of the theory of continuous time Markov chains to valuation of credit derivatives. Section 2 begins with a review of some basic notions and results from the theory of continuous-time Markov chains. Sections 3 to 5 are devoted to the study of a few specific Markovian models of portfolio credit risk.

Keywords: Markov chains, valuation, credit derivatives

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