Bivariate Semi-Markov Process for Counterparty Credit Risk
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Publication:5419662
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
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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Cites Work
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