Semi-Markov migration models for credit risk / Guglielmo D'Amico, Giuseppe Di Biase, Jacques Janssen, Raimondo Manca.
Material type:
TextSeries: Stochastic models for insurance set ; volume 1.Publisher: London, UK : ISTE, Ltd. ; Hoboken, NJ : Wiley, 2017Description: 1 online resourceContent type: - text
- computer
- online resource
- 9781119415084
- 111941508X
- 519.2/33Â 23
- QA274.7
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.
Includes bibliographical references and index.
Online resource; title from PDF title page (John Wiley, viewed June 1, 2017).
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