Semi-Markov migration models for credit risk. (2017)

• Record Type: Book
• Further Information: Note: Guglielmo D'Amico, Giuseppe Di Biase, Jacques Janssen, Raimondo Manca.
• Authors: D'Amico, Guglielmo; Di Biase, Giuseppe; Janssen, Jacques; Manca, Raimondo
• Contents: Chapter 1. Credit risk problem ; Chapter 2. Semi-Markov processes credit risk models; Chapter 3. Recurrence time HSMP and NHSMP: credit risk applications; Chapter 4. Backward and recurrence time HSMP and NHSMP credit risk models; Chapter 5. 5 Initial and Final Backward time HSMP and NHSMP credit risk models; Chapter 6. Mono-unireducible Markov and semi-Markov processes; Chapter 7. Non-homogeneous reward semi-Markov credit spread model; Chapter 8. NHSMP model for the evaluation of credit default swap; Chapter 9. Bivariate semi-Markov processes and related reward processes; Chapter 10. Semi-Markov credit risk simulation models
• Edition: 1st
• Publisher Details: London : Wiley-ISTE
• Publication Date: 2017
• Extent: 1 online resource
• Subjects: 332.701519233; Credit -- Mathematical models; Financial risk management -- Mathematical models; Markov processes
• Languages: English
• ISBNs: 9781119415121; 9781119415114
• Related ISBNs: 9781848219052
• Notes: Note: Description based on CIP data; item not viewed.
• Access Rights: Legal Deposit; Only available on premises controlled by the deposit library and to one user at any one time; The Legal Deposit Libraries (Non-Print Works) Regulations (UK).
• Access Usage: Restricted: Printing from this resource is governed by The Legal Deposit Libraries (Non-Print Works) Regulations (UK) and UK copyright law currently in force.