Bivariate Semi-Markov Process for Counterparty Credit Risk

DOI10.1080/03610926.2013.804563zbMath1292.60089arXiv1112.0226OpenAlexW2962854973MaRDI 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

algorithmcounterparty credit riskmultivariate semi-Markov chains

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Markov renewal processes, semi-Markov processes (60K15) Financial applications of other theories (91G80) Credit risk (91G40)

Related Items (1)

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

Cites Work

• Discrete time non-homogeneous semi-Markov reliability transition credit risk models and the default distribution functions
• Homogeneous semi-Markov reliability models for credit risk management
• Semi-Markov chains and hidden semi-Markov models toward applications. Their use in reliability and DNA analysis.
• Initial and final backward and forward discrete time non-homogeneous semi-Markov credit risk models
• Asymptotic behaviour of the survival probabilities in an inhomogeneous semi-Markov model for the migration process in credit risk
• Fuzzy semi-Markov migration process in credit risk
• Valuing credit default swap in a non-homogeneous semi-Markovian rating based model
• An Introduction to Credit Risk Modeling
• An inhomogeneous semi-Markov model for the term structure of credit risk spreads

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