Discrete time non-homogeneous semi-Markov reliability transition credit risk models and the default distribution functions
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Publication:656953
DOI10.1007/S10614-010-9219-XzbMATH Open1247.91194OpenAlexW2082565877MaRDI QIDQ656953FDOQ656953
Guglielmo D'Amico, Raimondo Manca, Jacques Janssen
Publication date: 13 January 2012
Published in: Computational Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10614-010-9219-x
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Cites Work
- Applied Semi-Markov Processes
- Semi-Markov Risk Models for Finance, Insurance and Reliability
- Semi-Markov processes and reliability
- Semi-Markov reliability models with recurrence times and credit rating applications
- Initial and final backward and forward discrete time non-homogeneous semi-Markov credit risk models
- Valuing credit default swap in a non-homogeneous semi-Markovian rating based model
- A realistic non-homogeneous stochastic pension fund model on scenario basis
- An inhomogeneous semi-Markov model for the term structure of credit risk spreads
- Homogeneous semi-Markov reliability models for credit risk management
Cited In (12)
- Fuzzy semi-Markov migration process in credit risk
- Nonexistence of Markovian time dynamics for graphical models of correlated default
- The Dynamic Behaviour of Non-Homogeneous Single-Unireducible Markov and Semi-Markov Chains
- Multi-state models for evaluating conversion options in life insurance
- 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
- Kolmogorov–Smirnov‐type testing for the partial homogeneity of Markov processes—with application to credit risk
- The Input Evaluation of Generalized Bernoulli Processes for Salary Lines Construction by Means of Continuous Time Generalized Non-Homogeneous Semi-Markov Processes
- Future pricing through homogeneous semi-Markov processes
- Homogeneous semi-Markov reliability models for credit risk management
- Bivariate Semi-Markov Process for Counterparty Credit Risk
- Valuing credit default swap in a non-homogeneous semi-Markovian rating based model
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