Bivariate Semi-Markov Process for Counterparty Credit Risk

DOI10.1080/03610926.2013.804563zbMath1292.60089arXiv1112.0226MaRDI QIDQ5419662

Giovanni Salvi, Guglielmo D'Amico, Raimondo Manca

Publication date: 11 June 2014

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1112.0226

zbMATH Keywords

algorithm; counterparty credit risk; multivariate semi-Markov chains

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

60K15: Markov renewal processes, semi-Markov processes

91G80: Financial applications of other theories

91G40: Credit risk

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Semi-Markov migration process in a stochastic market in credit risk

Cites Work

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