Markov chain model with catastrophe to determine mean time to default of credit risky assets

DOI10.1007/S10955-017-1890-ZzbMath1410.91470OpenAlexW2763973933MaRDI QIDQ1696966

Puneet Pasricha, Paola Tardelli, Selvamuthu Dharmaraja

Publication date: 15 February 2018

Published in: Journal of Statistical Physics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10955-017-1890-z

zbMATH Keywords

credit ratingsdefaultable assetsdiscrete time Markov chainmean time to default

Mathematics Subject Classification ID

Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Credit risk (91G40)

Cites Work

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• Markov chain models for delinquency: Transition matrix estimation and forecasting
• A simple Markov chain structure for the evolution of credit ratings
• Term Structures of Credit Spreads with Incomplete Accounting Information

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