Advanced Search
MyIDEAS: Login to save this article or follow this journal

A Non-Homogeneous Semi-Markov Reward Model For The Credit Spread Computation


Author Info


    (Drug Sciences Department, University "G. D'Annunzio", via dei Vestini 31, Chieti, 66013, Italy)


    (CESIAF, Bld Paul Janson, 84 bte 9, Charleroi, 6000, Belgium)


    (Department of Mathematics for the Decisions in Economics, Finance and Insurance, via del Castro Laurenziano, 9, Roma, 00161, Italy)

Registered author(s):


    In this paper, we present a model to describe the evolution of the yield spread by considering the rating evaluation as the determinant of credit spreads. The underlying rating migration process is assumed to be a non-homogeneous discrete time semi-Markov process. We calculate the total sum of mean basis points paid within any given time interval. From this information we show how it is possible to extract the time evolution of expected interest rates and discount factors.

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
    File URL:
    Download Restriction: Access to full text is restricted to subscribers.

    File URL:
    Download Restriction: Access to full text is restricted to subscribers.

    As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

    Bibliographic Info

    Article provided by World Scientific Publishing Co. Pte. Ltd. in its journal International Journal of Theoretical and Applied Finance.

    Volume (Year): 14 (2011)
    Issue (Month): 02 ()
    Pages: 221-238

    as in new window
    Handle: RePEc:wsi:ijtafx:v:14:y:2011:i:02:p:221-238

    Contact details of provider:
    Web page:

    Order Information:

    Related research

    Keywords: Credit rating; reward; algorithm;


    No references listed on IDEAS
    You can help add them by filling out this form.


    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as in new window

    Cited by:
    1. Guglielmo D'Amico & Raimondo Manca & Giovanni Salvi, 2011. "Bivariate Semi-Markov Process for Counterparty Credit Risk," Science & Finance (CFM) working paper archive 1112.0226, Science & Finance, Capital Fund Management, revised Oct 2012.


    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.


    Access and download statistics


    When requesting a correction, please mention this item's handle: RePEc:wsi:ijtafx:v:14:y:2011:i:02:p:221-238. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Tai Tone Lim).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.