An inhomogeneous semi-Markov model for the term structure of credit risk spreads

DOI10.1239/aap/1143936146zbMath1100.60047OpenAlexW1963774227MaRDI QIDQ5475395

Aglaia Vasileiou, P.-C. G. Vassiliou

Publication date: 19 June 2006

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/aap/1143936146

zbMATH Keywords

credit ratingstochastic monotonicityinhomogeneous semi-Markov chain

Mathematics Subject Classification ID

Related Items (14)

Monounireducible nonhomogeneous continuous time semi-Markov processes applied to rating migration models ⋮ Asymptotic behaviour of the survival probabilities in an inhomogeneous semi-Markov model for the migration process in credit risk ⋮ Semimartingale representation of a class of semi-Markov dynamics ⋮ Fuzzy semi-Markov migration process in credit risk ⋮ Semi-Markov migration process in a stochastic market in credit risk ⋮ Discrete time non-homogeneous semi-Markov reliability transition credit risk models and the default distribution functions ⋮ A NON-HOMOGENEOUS SEMI-MARKOV REWARD MODEL FOR THE CREDIT SPREAD COMPUTATION ⋮ Bivariate Semi-Markov Process for Counterparty Credit Risk ⋮ Initial and final backward and forward discrete time non-homogeneous semi-Markov credit risk models ⋮ \(\mathcal{G}\)-inhomogeneous Markov systems of high order ⋮ The price leadership share: a new measure of price discovery in financial markets ⋮ Semi-Markov reliability models with recurrence times and credit rating applications ⋮ Exotic Properties of Non Homogeneous Markov and Semi-Markov Systems ⋮ ROCOF of higher order for semi-Markov processes

Cites Work

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