Indira Gandhi National Tribal University, Amarkantak

Prof. Ram Dayal Munda Central Library

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Semi-Markov migration models for credit risk / Guglielmo D'Amico, Giuseppe Di Biase, Jacques Janssen, Raimondo Manca.

Contributor(s): Material type: TextTextSeries: Stochastic models for insurance set ; volume 1.Publisher: London, UK : Hoboken, NJ : ISTE, Ltd. ; Wiley, 2017Description: 1 online resourceContent type:
  • text
Media type:
  • computer
Carrier type:
  • online resource
ISBN:
  • 9781119415084
  • 111941508X
Subject(s): Genre/Form: DDC classification:
  • 519.2/33 23
LOC classification:
  • QA274.7
Online resources:
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.
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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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