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

MaRDI QIDQ3607209zbMATH OpenFDO

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

Publication date 28 February 2009

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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