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

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

zbMATH Keywords

reliabilitysemi-Markov processesbackward and forward processescredit risk migration model

Mathematics Subject Classification ID

Markov renewal processes, semi-Markov processes (60K15)

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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