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Semi-Markov migration models for credit risk /

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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...

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Bibliographic Details
Main Authors: D'Amico, Guglielmo (Author), Biase, Giuseppe Di (Author), Janssen, Jacques, 1939- (Author), Manca, Raimondo (Author)
Format: eBook
Language:English
Published: London, UK : Hoboken, NJ : ISTE, Ltd. ; Wiley, 2017.
Series:Stochastic models for insurance set ; volume 1.
Subjects:
Markov processes.
Financial risk > Mathematical models.
Electronic books.
Online Access:Connect to the full text of this electronic book
Table of Contents:
  • Semi-Markov Processes Migration Credit Risk Models
  • Recurrence Time HSMP and NHSMP: Credit Risk Applications
  • Recurrence Time Credit Risk Applications
  • Mono-Unireducible Markov and Semi-Markov Processes
  • Non-Homogeneous Semi-Markov Reward Processes and Credit Spread Computation
  • NHSMP Model for the Evaluation of Credit Default Swaps
  • Bivariate Semi-Markov Processes and Related Reward Processes for Counterparty Credit Risk and Credit Spreads
  • Semi-Markov Credit Risk Simulation Models.