BFS 2002

Poster Presentation

The intensity approach to Credit Risk is one celebrated tool in Credit Risk modelling. Duffie and Singleton (1999) used this to apply the Heath-Jarrow-Morton Methodology to Credit Risk. We generalize their model to infinite dimensions by use of Random Fields. The obtained model naturally evolves if one considers parameter uncertainty in a finite dimensional context.
The construction is performed under the objective measure and an equivalent martingale measure is obtained to price Credit Derivatives. Also Hedging and Calibration issues are treated.