Monte Carlo semi-Markov methods for credit risk migration models and Basel II rules. II.

zbMATH Open1164.60064MaRDI QIDQ3607209FDOQ3607209

Authors: Elena Biffi, Guglielmo D'Amico, Giuseppe Di Biase, Jacques Janssen, Raimondo Manca, D. S. Silvestrov 

Publication date: 28 February 2009

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zbMATH Keywords

credit ratingcredit risksemi-Markov processmigration modelMonte Carlo modelling

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Credit risk (91G40) Markov renewal processes, semi-Markov processes (60K15)

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• A semi-Markov maintenance model with credit rating application
• Title not available (Why is that?)
• Title not available (Why is that?)
• Initial and final backward and forward discrete time non-homogeneous semi-Markov credit risk models
• Hybrid Monte Carlo methods in credit risk management
• Semi-Markov migration models for credit risk
• Credit risk migration rates modeling as open systems: a micro-simulation approach

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