Semi-Markov migration process in a stochastic market in credit risk (Q2448226)
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| Language | Label | Description | Also known as |
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| English | Semi-Markov migration process in a stochastic market in credit risk |
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Semi-Markov migration process in a stochastic market in credit risk (English)
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30 April 2014
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In a series of papers, including the present paper, for evaluating the default risk of a bond or loan, or the pricing credit products of a company, the authors have modeled the stochastic evolution of the decisive variable, the rating of the company, by an inhomogeneous semi-Markov chain. In this paper, the survival probability of a defaultable bond in every credit grade, its convergence property and the viable of the market are studied.
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semi-Markov process
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migration process in credit risk
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survival probabilities
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asymptotic behaviour and estimation
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