Semi‐Markov Migration Models for Credit Risk
DOI10.1002/9781119415084zbMath1341.91003OpenAlexW2618401677MaRDI QIDQ3178435
Guglielmo D'Amico, Raimondo Manca, Jacques Janssen, Giuseppe Di Biase
Publication date: 13 July 2016
Full work available at URL: https://doi.org/10.1002/9781119415084
Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Markov renewal processes, semi-Markov processes (60K15) Applications of Markov renewal processes (reliability, queueing networks, etc.) (60K20) Credit risk (91G40)
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