Initial and final backward and forward discrete time non-homogeneous semi-Markov credit risk models
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Publication:973025
DOI10.1007/s11009-009-9142-6zbMath1194.60054OpenAlexW2093860101MaRDI QIDQ973025
Jacques Janssen, Raimondo Manca, Guglielmo D'Amico
Publication date: 28 May 2010
Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11009-009-9142-6
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Cites Work
- Homogeneous semi-Markov reliability models for credit risk management
- Valuing credit default swap in a non-homogeneous semi-Markovian rating based model
- Numerical Treatment of Homogeneous and Non-homogeneous Semi-Markov Reliability Models
- An Introduction to Credit Risk Modeling
- An inhomogeneous semi-Markov model for the term structure of credit risk spreads
- Applied Semi-Markov Processes
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