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A. Sepp, “Extended Creditgrades Model with Stochastic Volatility and Jumps,” Wilmott Magazine, 2006, pp. 50-62.

has been cited by the following article:

• TITLE: CreditGrades Framework within Stochastic Covariance Models

  AUTHORS: Marcos Escobar, Hamidreza Arian, Luis Seco

  KEYWORDS: Barrier Option; Stochastic Covariance; CreditGrades Mode; Wishart Process; Principal Component Process

  JOURNAL NAME: Journal of Mathematical Finance, Vol.2 No.4, November 21, 2012

  ABSTRACT: In this paper we study a multivariate extension of a structural credit risk model, the CreditGrades model, under the assumption of stochastic volatility and correlation between the assets of the companies. The covariance of the assets follows two popular models which are non-overlapping extensions of the CIR model to dimensions greater than one, the Wishart process and the Principal component process. Under CreditGrades, we find quasi closed-form solutions for equity options, marginal probabilities of defaults, and some other major financial derivatives.