Semi-Markov migration models for credit risk /
Credit risk is one of the most important contemporary problems for banks and insurance companies. Indeed, for banks, more than forty percent of the equities are necessary to cover this risk. Though this problem is studied by large rating agencies with substantial economic, social and financial tools...
| Main Authors: | , , , |
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| Format: | eBook |
| Language: | English |
| Published: |
London, UK : Hoboken, NJ :
ISTE, Ltd. ; Wiley,
2017.
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| Series: | Stochastic models for insurance set ;
volume 1. |
| Subjects: | |
| Online Access: | Connect to the full text of this electronic book |
| Summary: | Credit risk is one of the most important contemporary problems for banks and insurance companies. Indeed, for banks, more than forty percent of the equities are necessary to cover this risk. Though this problem is studied by large rating agencies with substantial economic, social and financial tools, building stochastic models is nevertheless necessary to complete this descriptive orientation. This book presents a complete presentation of such a category of models using homogeneous and non-homogeneous semi-Markov processes developed by the authors in several recent papers. |
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| Physical Description: | 1 online resource |
| Bibliography: | Includes bibliographical references and index. |
| ISBN: | 9781119415084 111941508X 9781119415121 1119415128 9781119415114 111941511X |