Semi-Markov migration models for credit risk
Gespeichert in:
| Format: | Elektronisch E-Book |
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| Sprache: | English |
| Veröffentlicht: |
London, UK
ISTE, Ltd.
2017
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| Schriftenreihe: | Stochastic models for insurance set
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| Schlagworte: | |
| Online-Zugang: | DE-861 DE-473 URL des Erstveröffentlichers |
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| Beschreibung: | 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 |
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| Beschreibung: | 1 online resource |