Rate of occurrence of failures (ROCOF) of higher-order for Markov processes: analysis, inference and application to financial credit ratings

DOI10.1007/S11009-015-9437-8MaRDI QIDQ905225zbMATH OpenOpenAlexFDO

Authors Guglielmo D'Amico

Publication date 14 January 2016

Published in Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11009-015-9437-8

zbMATH Keywords

credit ratingsfinite state Markov jump processplug-in estimatorrate of occurrence of failures

Mathematics Subject Classification ID

Continuous-time Markov processes on discrete state spaces (60J27) Markov processes: estimation; hidden Markov models (62M05) Financial applications of other theories (91G80)

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Cites work

• A convergence result in the estimation of Markov chains with application to compound options
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• Estimating the Infinitesimal Generator of a Continuous Time, Finite State Markov Process
• Estimation of the Entropy Rate of a Countable Markov Chain
• Estimation using plug-in of the stationary distribution and Shannon entropy of continuous time Markov processes
• Homogeneous semi-Markov reliability models for credit risk management
• scientific article; zbMATH DE number 3905603 (Why is no real title available?)
• scientific article; zbMATH DE number 3797956 (Why is no real title available?)
• scientific article; zbMATH DE number 3269963 (Why is no real title available?)
• Measuring the Association of Point Processes: A Case History
• Modeling rating transitions
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• The rate of occurrence of failures
• The rate of occurrence of failures for semi-Markov processes and estimation
• Variance estimation in the central limit theorem for Markov chains

Cited in

(4)

• Markov chain model with catastrophe to determine mean time to default of credit risky assets
• The rate of occurrence of failures for semi-Markov processes and estimation
• ROCOF of higher order for semi-Markov processes
• Conditional failure occurrence rates for semi-Markov chains

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