Discrete Time Non-Homogeneous Semi-Markov Reliability Transition Credit Risk Models and the Default Distribution Functions
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Bibliographic InfoArticle provided by Society for Computational Economics in its journal Computational Economics.
Volume (Year): 38 (2011)
Issue (Month): 4 (November)
Age index; Mono-unireducibility; Non-homogeneity; Asymptotic behaviour;
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- Jarrow, Robert A & Lando, David & Turnbull, Stuart M, 1997. "A Markov Model for the Term Structure of Credit Risk Spreads," Review of Financial Studies, Society for Financial Studies, vol. 10(2), pages 481-523.
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- Jarrow, Robert A & Turnbull, Stuart M, 1995. " Pricing Derivatives on Financial Securities Subject to Credit Risk," Journal of Finance, American Finance Association, vol. 50(1), pages 53-85, March.
- Guglielmo D’Amico & Jacques Janssen & Raimondo Manca, 2007. "Valuing credit default swap in a non-homogeneous semi-Markovian rating based model," Computational Economics, Society for Computational Economics, vol. 29(2), pages 119-138, March.
- Guglielmo D'Amico & Raimondo Manca & Giovanni Salvi, 2011. "Bivariate Semi-Markov Process for Counterparty Credit Risk," Papers 1112.0226, arXiv.org, revised Oct 2012.
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