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

DOI10.1007/S11009-009-9142-6MaRDI QIDQ973025zbMATH OpenOpenAlexFDO

Authors Guglielmo D'Amico, Jacques Janssen, Raimondo Manca

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

reliabilitysemi-Markov processesbackward and forward processescredit risk migration model

Mathematics Subject Classification ID

Markov renewal processes, semi-Markov processes (60K15)

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Cites work

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

Cited in

(16)

• 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
• Discrete time non-homogeneous semi-Markov reliability transition credit risk models and the default distribution functions
• Bivariate semi-Markov process for counterparty credit risk
• 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
• A semi-Markov approach to the stock valuation problem
• 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
• An inhomogeneous semi-Markov model for the term structure of credit risk spreads
• Semi-Markov migration models for credit risk
• Homogeneous semi-Markov reliability models for credit risk management
• Monte Carlo semi-Markov methods for credit risk migration models and Basel II rules. II.
• Semi-Markov disability insurance models
• A new multivariate Markov chain model for adding a new categorical data sequence

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