Valuing credit default swap in a non-homogeneous semi-Markovian rating based model (Q2642592): Difference between revisions
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| Property / cites work: Discrete-Time Semi-Markov Model for Reliability and Survival Analysis / rank | |||
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| Property / cites work: Numerical Treatment of Homogeneous and Non-homogeneous Semi-Markov Reliability Models / rank | |||
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| Property / cites work: Homogeneous semi-Markov reliability models for credit risk management / rank | |||
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| Property / cites work: Reward model solution methods with impulse and rate rewards: an algorithm and numerical results / rank | |||
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| Property / cites work: A Pricing Process with Stochastic Volatility Controlled by a Semi-Markov Process / rank | |||
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Latest revision as of 12:35, 26 June 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Valuing credit default swap in a non-homogeneous semi-Markovian rating based model |
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Valuing credit default swap in a non-homogeneous semi-Markovian rating based model (English)
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17 August 2007
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non-homogeneous semi-Markov processes
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credit risk
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stochastic recovery rate
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default swap
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reliability
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