Asymptotic behaviour of the survival probabilities in an inhomogeneous semi-Markov model for the migration process in credit risk (Q1940089): Difference between revisions

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English	Asymptotic behaviour of the survival probabilities in an inhomogeneous semi-Markov model for the migration process in credit risk	scientific article

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instance of

scholarly article

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title

Asymptotic behaviour of the survival probabilities in an inhomogeneous semi-Markov model for the migration process in credit risk (English)

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zbMATH Open document ID

1282.91363

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DOI

10.1016/j.laa.2012.11.035

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Linear Algebra and its Applications

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publication date

5 March 2013

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Mathematics Subject Classification ID

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credit rating

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inhomogeneous Markov chain

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survival probabilities

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asymptotic behaviour and estimation

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1016/j.laa.2012.11.035

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OpenAlex ID

W2086212982

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cites work

Statistical Inference about Markov Chains

0 references

Discrete-Time Semi-Markov Model for Reliability and Survival Analysis

0 references

Empirical estimation for discrete-time semi-Markov processes with applications in reliability

0 references

Q3943082

0 references

Risk-neutral valuation: Pricing and hedging of financial derivatives

0 references

Credit risk: Modelling, valuation and hedging

0 references

Q3207128

0 references

Quasi-stationary distributions for a class of discrete-time Markov chains

0 references

Homogeneous semi-Markov reliability models for credit risk management

0 references

Valuing credit default swap in a non-homogeneous semi-Markovian rating based model

0 references

A semi-Markov maintenance model with credit rating application

0 references

Initial and final backward and forward discrete time non-homogeneous semi-Markov credit risk models

0 references

Discrete time non-homogeneous semi-Markov reliability transition credit risk models and the default distribution functions

0 references

On Quasi-Stationary distributions in absorbing discrete-time finite Markov chains

0 references

Mathematics of financial markets

0 references

On Models of Default Risk

0 references

Q3254327

0 references

Schwarz methods for quasi stationary distributions of Markov chains

0 references

Matrix Analysis

0 references

Q4040931

0 references

Q5635252

0 references

The rate of convergence of certain nonhomogeneous Markov chains

0 references

Q3326556

0 references

On the existence of quasi-stationary distributions in denumerable <i>R</i>-transient Markov chains

0 references

Q5691143

0 references

Monotonicities in a Markov Chain Model for Valuing Corporate Bonds Subject to Credit Risk

0 references

The Group Inverse Associated with an Irreducible Periodic Nonnegative Matrix

0 references

On Cox processes and credit risky securities

0 references

Estimation for incomplete manpower data

0 references

Q4231218

0 references

Q4494274

0 references

The Role of the Group Generalized Inverse in the Theory of Finite Markov Chains

0 references

The Condition of a Finite Markov Chain and Perturbation Bounds for the Limiting Probabilities

0 references

Updating finite markov chains by using techniques of group matrix inversion

0 references

The rate of occurrence of failures for semi-Markov processes and estimation

0 references

Asymptotic behavior of nonhomogeneous semi-Markov systems

0 references

Methods of matrix algebra

0 references

Non-negative matrices and Markov chains. 2nd ed

0 references

On quasi-stationary distributions in discrete-time Markov chains with a denumerable infinity of states

0 references

Moments for stationary and quasi-stationary distributions of markov chains

0 references

An inhomogeneous semi-Markov model for the term structure of credit risk spreads

0 references

Non-homogeneous semi-Markov systems and maintainability of the state sizes

0 references

The perturbed nonhomogeneous Markov system

0 references

The rate of convergence of the vector of variances and covariances in non-homogeneous Markov systems

0 references

Asymptotic Behavior of First Passage Probabilities in the Perturbed Non-homogeneous Semi-Markov Systems

0 references

Q3583113

0 references

Fuzzy semi-Markov migration process in credit risk

0 references

Sitelinks

Mathematics(1 entry)

mardi Publication:1940089

@@ Property / cites work @@
+Statistical Inference about Markov Chains
@@ Property / cites work: Statistical Inference about Markov Chains / rank @@
+Normal rank
@@ Property / cites work @@
+Discrete-Time Semi-Markov Model for Reliability and Survival Analysis
+Normal rank
@@ Property / cites work @@
+Empirical estimation for discrete-time semi-Markov processes with applications in reliability
+Normal rank
@@ Property / cites work @@
+Q3943082
@@ Property / cites work: Q3943082 / rank @@
+Normal rank
@@ Property / cites work @@
+Risk-neutral valuation: Pricing and hedging of financial derivatives
+Normal rank
@@ Property / cites work @@
+Credit risk: Modelling, valuation and hedging
@@ Property / cites work: Credit risk: Modelling, valuation and hedging / rank @@
+Normal rank
@@ Property / cites work @@
+Q3207128
@@ Property / cites work: Q3207128 / rank @@
+Normal rank
@@ Property / cites work @@
+Quasi-stationary distributions for a class of discrete-time Markov chains
+Normal rank
@@ Property / cites work @@
+Homogeneous semi-Markov reliability models for credit risk management
+Normal rank
@@ Property / cites work @@
+Valuing credit default swap in a non-homogeneous semi-Markovian rating based model
+Normal rank
@@ Property / cites work @@
+A semi-Markov maintenance model with credit rating application
+Normal rank
@@ Property / cites work @@
+Initial and final backward and forward discrete time non-homogeneous semi-Markov credit risk models
+Normal rank
@@ Property / cites work @@
+Discrete time non-homogeneous semi-Markov reliability transition credit risk models and the default distribution functions
+Normal rank
@@ Property / cites work @@
+On Quasi-Stationary distributions in absorbing discrete-time finite Markov chains
+Normal rank
@@ Property / cites work @@
+Mathematics of financial markets
@@ Property / cites work: Mathematics of financial markets / rank @@
+Normal rank
@@ Property / cites work @@
+On Models of Default Risk
@@ Property / cites work: On Models of Default Risk / rank @@
+Normal rank
@@ Property / cites work @@
+Q3254327
@@ Property / cites work: Q3254327 / rank @@
+Normal rank
@@ Property / cites work @@
+Schwarz methods for quasi stationary distributions of Markov chains
+Normal rank
@@ Property / cites work @@
+Matrix Analysis
@@ Property / cites work: Matrix Analysis / rank @@
+Normal rank
@@ Property / cites work @@
+Q4040931
@@ Property / cites work: Q4040931 / rank @@
+Normal rank
@@ Property / cites work @@
+Q5635252
@@ Property / cites work: Q5635252 / rank @@
+Normal rank
@@ Property / cites work @@
+The rate of convergence of certain nonhomogeneous Markov chains
+Normal rank
@@ Property / cites work @@
+Q3326556
@@ Property / cites work: Q3326556 / rank @@
+Normal rank
@@ Property / cites work @@
+On the existence of quasi-stationary distributions in denumerable <i>R</i>-transient Markov chains
+Normal rank
@@ Property / cites work @@
+Q5691143
@@ Property / cites work: Q5691143 / rank @@
+Normal rank
@@ Property / cites work @@
+Monotonicities in a Markov Chain Model for Valuing Corporate Bonds Subject to Credit Risk
+Normal rank
@@ Property / cites work @@
+The Group Inverse Associated with an Irreducible Periodic Nonnegative Matrix
+Normal rank
@@ Property / cites work @@
+On Cox processes and credit risky securities
@@ Property / cites work: On Cox processes and credit risky securities / rank @@
+Normal rank
@@ Property / cites work @@
+Estimation for incomplete manpower data
@@ Property / cites work: Estimation for incomplete manpower data / rank @@
+Normal rank
@@ Property / cites work @@
+Q4231218
@@ Property / cites work: Q4231218 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4494274
@@ Property / cites work: Q4494274 / rank @@
+Normal rank
@@ Property / cites work @@
+The Role of the Group Generalized Inverse in the Theory of Finite Markov Chains
+Normal rank
@@ Property / cites work @@
+The Condition of a Finite Markov Chain and Perturbation Bounds for the Limiting Probabilities
+Normal rank
@@ Property / cites work @@
+Updating finite markov chains by using techniques of group matrix inversion
+Normal rank
@@ Property / cites work @@
+The rate of occurrence of failures for semi-Markov processes and estimation
+Normal rank
@@ Property / cites work @@
+Asymptotic behavior of nonhomogeneous semi-Markov systems
+Normal rank
@@ Property / cites work @@
+Methods of matrix algebra
@@ Property / cites work: Methods of matrix algebra / rank @@
+Normal rank
@@ Property / cites work @@
+Non-negative matrices and Markov chains. 2nd ed
@@ Property / cites work: Non-negative matrices and Markov chains. 2nd ed / rank @@
+Normal rank
@@ Property / cites work @@
+On quasi-stationary distributions in discrete-time Markov chains with a denumerable infinity of states
+Normal rank
@@ Property / cites work @@
+Moments for stationary and quasi-stationary distributions of markov chains
+Normal rank
@@ Property / cites work @@
+An inhomogeneous semi-Markov model for the term structure of credit risk spreads
+Normal rank
@@ Property / cites work @@
+Non-homogeneous semi-Markov systems and maintainability of the state sizes
+Normal rank
@@ Property / cites work @@
+The perturbed nonhomogeneous Markov system
@@ Property / cites work: The perturbed nonhomogeneous Markov system / rank @@
+Normal rank
@@ Property / cites work @@
+The rate of convergence of the vector of variances and covariances in non-homogeneous Markov systems
+Normal rank
@@ Property / cites work @@
+Asymptotic Behavior of First Passage Probabilities in the Perturbed Non-homogeneous Semi-Markov Systems
+Normal rank
@@ Property / cites work @@
+Q3583113
@@ Property / cites work: Q3583113 / rank @@
+Normal rank
@@ Property / cites work @@
+Fuzzy semi-Markov migration process in credit risk
+Normal rank