Bivariate Semi-Markov Process for Counterparty Credit Risk
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References listed on IDEAS
- Guglielmo D’Amico & Jacques Janssen & Raimondo Manca, 2007. "Valuing credit default swap in a non-homogeneous semi-Markovian rating based model," Computational Economics, Springer;Society for Computational Economics, vol. 29(2), pages 119-138, March.
- Damiano Brigo & Agostino Capponi, 2008. "Bilateral counterparty risk valuation with stochastic dynamical models and application to Credit Default Swaps," Papers 0812.3705, arXiv.org, revised Nov 2009.
- Guglielmo D’Amico & Jacques Janssen & Raimondo Manca, 2011. "Discrete Time Non-Homogeneous Semi-Markov Reliability Transition Credit Risk Models and the Default Distribution Functions," Computational Economics, Springer;Society for Computational Economics, vol. 38(4), pages 465-481, November.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2011-12-13 (All new papers)
- NEP-BAN-2011-12-13 (Banking)
- NEP-RMG-2011-12-13 (Risk Management)
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