Semi-Markov migration process in a stochastic market in credit risk (Q2448226): Difference between revisions

In a series of papers, including the present paper, for evaluating the default risk of a bond or loan, or the pricing credit products of a company, the authors have modeled the stochastic evolution of the decisive variable, the rating of the company, by an inhomogeneous semi-Markov chain. In this paper, the survival probability of a defaultable bond in every credit grade, its convergence property and the viable of the market are studied.