Initial and final backward and forward discrete time non-homogeneous semi-Markov credit risk models
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Publication:973025
DOI10.1007/S11009-009-9142-6zbMATH Open1194.60054OpenAlexW2093860101MaRDI QIDQ973025FDOQ973025
Jacques Janssen, Raimondo Manca, Guglielmo D'Amico
Publication date: 28 May 2010
Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11009-009-9142-6
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Cites Work
- Applied Semi-Markov Processes
- An Introduction to Credit Risk Modeling
- Numerical Treatment of Homogeneous and Non-homogeneous Semi-Markov Reliability Models
- Valuing credit default swap in a non-homogeneous semi-Markovian rating based model
- An inhomogeneous semi-Markov model for the term structure of credit risk spreads
- Homogeneous semi-Markov reliability models for credit risk management
Cited In (15)
- A customer's utility measure based on the reliability of multi-state systems
- Fuzzy semi-Markov migration process in credit risk
- Semi-Markov migration process in a stochastic market in credit risk
- Semi-Markov Disability Insurance Models
- Discrete time non-homogeneous semi-Markov reliability transition credit risk models and the default distribution functions
- A NON-HOMOGENEOUS SEMI-MARKOV REWARD MODEL FOR THE CREDIT SPREAD COMPUTATION
- Markov chain model with catastrophe to determine mean time to default of credit risky assets
- Monounireducible nonhomogeneous continuous time semi-Markov processes applied to rating migration models
- A semi-Markov approach to the stock valuation problem
- Asymptotic behaviour of the survival probabilities in an inhomogeneous semi-Markov model for the migration process in credit risk
- An inhomogeneous semi-Markov model for the term structure of credit risk spreads
- Homogeneous semi-Markov reliability models for credit risk management
- Bivariate Semi-Markov Process for Counterparty Credit Risk
- Monte Carlo semi-Markov methods for credit risk migration models and Basel II rules. II.
- A new multivariate Markov chain model for adding a new categorical data sequence
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