Semi-Markov migration models for credit risk
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Credit risk is one of the most important contemporary problems for banks and insurance companies. Indeed, for banks, more than forty percent of the equities are necessary to cover this risk. Though this problem is studied by large rating agencies with substantial economic, social and financial tools, building stochastic models is nevertheless necessary to complete this descriptive orientation. This book presents acomplete presentation of such a category of models using homogeneous and non-homogeneous semi-Markov processes developed by the authors in several recent papers.Abstract: Credit risk is one of the most important contemporary problems for banks and insurance companies. Indeed, for banks, more than forty percent of the equities are necessary to cover this risk.
LF/585476/R
Data sheet
- Name of the Author
- Biase
D'Amico
Giuseppe Di
Guglielmo
Jacques
Janssen
Manca
Raimondo - Language
- English
- Series
- Stochastic models for insurance set volume 1
- ISBN
- 9781848219052
- Release date
- 2017
