Bivariate semi-Markov reward chain and credit spreads

DOI10.1093/imaman/dpv009zbMath1433.91199OpenAlexW2059966811MaRDI QIDQ5382703

Raimondo Manca, Giovanni Salvi, Guglielmo D'Amico

Publication date: 18 June 2019

Published in: IMA Journal of Management Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/imaman/dpv009

zbMATH Keywords

credit spreadreward processbivariate semi-Markov chain

Mathematics Subject Classification ID

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

Related Items (1)

A Copula-based Markov Reward Approach to the Credit Spread in the European Union

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