Homogeneous semi-Markov reliability models for credit risk management

The credit risk problem is one of the most important issues of modern financial mathematics. Fundamentally it consists in computing the default probability of a company going into debt. The problem can be studied by means of Markov transition models. The generalization of the transition models by me...

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Bibliographic details
Volume: 28
Main Author: Janssen, Jacques
D’Amico, Guglielmo
Manca, Raimondo
Format: Journal Article
Language: English
Zielgruppe: Academic
Place of publication: Springer 2006
published in: Decisions in economics and finance Vol. 28; no. 2; pp. 79 - 93
Data of publication: 2006
ISSN: 1593-8883
EISSN: 1129-6569
Discipline: Economics
Social Sciences (General)
Series: Decisions in Economics and Finance
Online Access: Fulltext
Database: RePEc
Academic OneFile (A&I only)
Database information Databases - DBIS