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Discrete Time Non-Homogeneous Semi-Markov Reliability Transition Credit Risk Models and the Default Distribution Functions

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  • Guglielmo D’Amico
  • Jacques Janssen
  • Raimondo Manca

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  • Guglielmo D’Amico & Jacques Janssen & Raimondo Manca, 2011. "Discrete Time Non-Homogeneous Semi-Markov Reliability Transition Credit Risk Models and the Default Distribution Functions," Computational Economics, Springer;Society for Computational Economics, vol. 38(4), pages 465-481, November.
    • Handle: RePEc:kap:compec:v:38:y:2011:i:4:p:465-481
    DOI: 10.1007/s10614-010-9219-x
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    References listed on IDEAS

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    1. Robert A. Jarrow & David Lando & Stuart M. Turnbull, 2008. "A Markov Model for the Term Structure of Credit Risk Spreads," World Scientific Book Chapters, in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 18, pages 411-453, World Scientific Publishing Co. Pte. Ltd..
    2. Robert A. Jarrow & Stuart M. Turnbull, 2008. "Pricing Derivatives on Financial Securities Subject to Credit Risk," World Scientific Book Chapters, in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 17, pages 377-409, World Scientific Publishing Co. Pte. Ltd..
    3. Guglielmo D’Amico & Jacques Janssen & Raimondo Manca, 2010. "Initial and Final Backward and Forward Discrete Time Non-homogeneous Semi-Markov Credit Risk Models," Methodology and Computing in Applied Probability, Springer, vol. 12(2), pages 215-225, June.
    4. Guglielmo D’Amico & Jacques Janssen & Raimondo Manca, 2007. "Valuing credit default swap in a non-homogeneous semi-Markovian rating based model," Computational Economics, Springer;Society for Computational Economics, vol. 29(2), pages 119-138, March.
    5. Altman, Edward I., 1998. "The importance and subtlety of credit rating migration," Journal of Banking & Finance, Elsevier, vol. 22(10-11), pages 1231-1247, October.
    6. Altman, Edward I. & Rijken, Herbert A., 2004. "How rating agencies achieve rating stability," Journal of Banking & Finance, Elsevier, vol. 28(11), pages 2679-2714, November.
    7. Lando, David & Skodeberg, Torben M., 2002. "Analyzing rating transitions and rating drift with continuous observations," Journal of Banking & Finance, Elsevier, vol. 26(2-3), pages 423-444, March.
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    Cited by:

    1. Guglielmo D'Amico & Raimondo Manca & Giovanni Salvi, 2011. "Bivariate Semi-Markov Process for Counterparty Credit Risk," Papers 1112.0226, arXiv.org, revised Oct 2012.
    2. Guglielmo D'Amico & Montserrat Guillen & Raimondo Manca & Filippo Petroni, 2017. "Multi-state models for evaluating conversion options in life insurance," Papers 1707.01028, arXiv.org.

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