Semi‐Markov Migration Models for Credit Risk

DOI10.1002/9781119415084zbMATH Open1341.91003OpenAlexW2618401677MaRDI QIDQ3178435FDOQ3178435

Guglielmo D'Amico, Raimondo Manca, Jacques Janssen, Giuseppe Di Biase

Publication date: 13 July 2016

Full work available at URL: https://doi.org/10.1002/9781119415084

Mathematics Subject Classification ID

Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Credit risk (91G40) Markov renewal processes, semi-Markov processes (60K15) Applications of Markov renewal processes (reliability, queueing networks, etc.) (60K20)

Cited In (5)

• Modelling credit grade migration in large portfolios using cumulative \(t\)-link transition models
• Title not available (Why is that?)
• A simple model for credit migration and spread curves
• The role of health in consumption and portfolio decision-making: insights from state-dependent models
• Testing the Adequacy of Markov Chain and Mover-Stayer Models as Representations of Credit Behavior

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