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

DOI10.1007/s10614-006-9080-0zbMath1161.91386OpenAlexW1982289974MaRDI QIDQ2642592

Jacques Janssen, Raimondo Manca, Guglielmo D'Amico

Publication date: 17 August 2007

Published in: Computational Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10614-006-9080-0

zbMATH Keywords

reliabilitycredit risknon-homogeneous semi-Markov processesdefault swapstochastic recovery rate

Mathematics Subject Classification ID

Credit risk (91G40)

Related Items (12)

Modeling and pricing of variance and volatility swaps for local semi-Markov volatilities in financial engineering ⋮ Monounireducible nonhomogeneous continuous time semi-Markov processes applied to rating migration models ⋮ Asymptotic behaviour of the survival probabilities in an inhomogeneous semi-Markov model for the migration process in credit risk ⋮ Stability analysis and stabilization of discrete-time non-homogeneous semi-Markov jump linear systems: a polytopic approach ⋮ Fuzzy semi-Markov migration process in credit risk ⋮ Semi-Markov migration process in a stochastic market in credit risk ⋮ Discrete time non-homogeneous semi-Markov reliability transition credit risk models and the default distribution functions ⋮ Bivariate Semi-Markov Process for Counterparty Credit Risk ⋮ Initial and final backward and forward discrete time non-homogeneous semi-Markov credit risk models ⋮ A semi-martingale representation for a semi-Markov chain with application to finance ⋮ Semi-Markov reliability models with recurrence times and credit rating applications ⋮ Strong Law of Large Numbers and Central Limit Theorems for Functionals of Inhomogeneous Semi-Markov Processes

Cites Work

• Homogeneous semi-Markov reliability models for credit risk management
• A Pricing Process with Stochastic Volatility Controlled by a Semi-Markov Process
• Numerical Treatment of Homogeneous and Non-homogeneous Semi-Markov Reliability Models
• Reward model solution methods with impulse and rate rewards: an algorithm and numerical results
• Discrete-Time Semi-Markov Model for Reliability and Survival Analysis

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