hi all, i'm doing a paper on markov chain modelling for credit risk derivatives and i've reviewed on the jarrow-lando-turnbull(JLT) 97 paper and Kijima commentary 98. i was hoping if anyone has any books or read anything which could be of some interest to the topic? thanx a lot =)

here is an article from The Journal of Derivatives by Eiji Kodera.not sure if it helps ...

thanx reza i'll take a look at them now =)

I am not sure what it is exactly you're looking for but there are also a lot of articles (Merton, Duffie) on Credit Risk modeled with Poisson Processes etc ...

well, i'm actually reviewing on what kijima M. published at 98 ion markov chain approach to credit risk modelling.. actually similar to what Kodera Eiji is doing except i was meant to compare what made the models better compariing to the previous ones instead of generating new ideas and proof and such.... actually i had similar idea in regards to diffusion process just like kodera...lol !! this is one diffiocult topic to do...was hoping i could do a topic on simulations so i can utilise my matlab skills and make it look better..lol.. oh wells, guess it's too late~~~ freaky~~~ lol !

oh wells, guess it's too late >>if I may, I think you can still bring your personal insight to all this, it's not unusual that more than one person thinks of the same thing, it happened to me as well ...

Hi Agfox,Lando 1998 is also a quite interesting paper, in which he generalizes the Markovian model proposed in JLT 97. I would also recomment 6.Chapter of his book "Credit Risk Modelling".cheers

Or, chapter 8 of Schönbucher's book.