Initial and final backward and forward discrete time non-homogeneous semi-Markov credit risk models

DOI10.1007/s11009-009-9142-6zbMath1194.60054MaRDI QIDQ973025

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

zbMATH Keywords

reliability; semi-Markov processes; backward and forward processes; credit risk migration model

Mathematics Subject Classification ID

60K15: Markov renewal processes, semi-Markov processes

Related Items

Bivariate Semi-Markov Process for Counterparty Credit Risk, A semi-Markov approach to the stock valuation problem, A customer's utility measure based on the reliability of multi-state systems, Discrete time non-homogeneous semi-Markov reliability transition credit risk models and the default distribution functions, Markov chain model with catastrophe to determine mean time to default of credit risky assets, A new multivariate Markov chain model for adding a new categorical data sequence, Monounireducible nonhomogeneous continuous time semi-Markov processes applied to rating migration 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, Semi-Markov migration process in a stochastic market in credit risk, Semi-Markov Disability Insurance Models, A NON-HOMOGENEOUS SEMI-MARKOV REWARD MODEL FOR THE CREDIT SPREAD COMPUTATION

Cites Work

• Homogeneous semi-Markov reliability models for credit risk management
• Valuing credit default swap in a non-homogeneous semi-Markovian rating based model
• Numerical Treatment of Homogeneous and Non-homogeneous Semi-Markov Reliability Models
• An Introduction to Credit Risk Modeling
• An inhomogeneous semi-Markov model for the term structure of credit risk spreads
• Applied Semi-Markov Processes