A NON-HOMOGENEOUS SEMI-MARKOV REWARD MODEL FOR THE CREDIT SPREAD COMPUTATION

DOI10.1142/S0219024911006346zbMath1214.91125OpenAlexW2004063298MaRDI QIDQ3005958

Jacques Janssen, Raimondo Manca, Guglielmo D'Amico

Publication date: 10 June 2011

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024911006346

zbMATH Keywords

algorithmcredit ratingreward

Mathematics Subject Classification ID

Markov renewal processes, semi-Markov processes (60K15) Credit risk (91G40)

Related Items (4)

Estimation for discrete-time semi-Markov reward processes: analysis and inference ⋮ A Copula-based Markov Reward Approach to the Credit Spread in the European Union ⋮ Strong Law of Large Numbers and Central Limit Theorems for Functionals of Inhomogeneous Semi-Markov Processes ⋮ ROCOF of higher order for semi-Markov processes

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• Term Structures of Credit Spreads with Incomplete Accounting Information
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• An inhomogeneous semi-Markov model for the term structure of credit risk spreads

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