Semi-Markov migration models for credit risk

✍ Scribed by Biase, Giuseppe Di; D'Amico, Guglielmo; Janssen, Jacques; Manca, Raimondo

• Publisher: ISTE
• Year: 2017
• Tongue: English
• Leaves: 309
• Series: Stochastic models for insurance set volume 1
• Category: Library

✦ Synopsis

Credit risk is one of the most important contemporary problems for banks and insurance companies. Indeed, for banks, more than forty percent of the equities are necessary to cover this risk. Though this problem is studied by large rating agencies with substantial economic, social and financial tools, building stochastic models is nevertheless necessary to complete this descriptive orientation. This book presents a complete presentation of such a category of models using homogeneous and non-homogeneous semi-Markov processes developed by the authors in several recent papers. Read more...

Abstract:

Credit risk is one of the most important contemporary problems for banks and insurance companies. Indeed, for banks, more than forty percent of the equities are necessary to cover this risk. Read more...

✦ Table of Contents

Content: 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.

✦ Subjects

Markov processes;Financial risk -- Mathematical models;MATHEMATICS / Applied;MATHEMATICS / Probability & Statistics / General