This thesis deals with intensity-based credit risk models. The main aim is to provide a general overview of this kind of model class from a theoretical viewpoint, by explaining its fundamental concepts and methods and presenting some of the models which essentially have embossed its popularity. After introducing the basic mathematical background for the intensity-based framework, the works of Jarrow and Turnbull (1995), Madan and Unal (1998), Lando (1998) and Duffie and Singleton (1999) are presented in greater detail, as these have mainly influenced the development of intensity-based models on a univariate obligor level. With respect to modeling the defaults of multiple obligors, different possibilities to incorporate a dependency structure into the intensity-based setting are briefly discussed, before the most typical multivariate intensity-based approach of correlated intensities is specified. Latter approach serves as underlying framework to construct a simple bivariate intensity-based model for pricing credit default swaps when counterparty risk is present. The swap prices, which are obtained by realizing the model in an affine jump diffusion setting, are first compared to those created by an ordinary univariate approach. Subsequently, a sensitivity analysis is conducted in which the effects of changing single intensity parameters on the swap prices are examined.     «

This thesis deals with intensity-based credit risk models. The main aim is to provide a general overview of this kind of model class from a theoretical viewpoint, by explaining its fundamental concepts and methods and presenting some of the models which essentially have embossed its popularity. After introducing the basic mathematical background for the intensity-based framework, the works of Jarrow and Turnbull (1995), Madan and Unal (1998), Lando (1998) and Duffie and Singleton (1999) are pres...     »