Initial and Final Backward and Forward Discrete Time Non-homogeneous Semi-Markov Credit Risk Models |
| |
Authors: | Guglielmo D’Amico Jacques Janssen Raimondo Manca |
| |
Institution: | (1) Department of Mathematics, Aristotle University of Thessaloniki, Thessaloniki, 54124, Greece |
| |
Abstract: | In this paper we show how it is possible to construct an efficient Migration models in the study of credit risk problems presented
in Jarrow et al. (Rev Financ Stud 10:481–523, 1997) with Markov environment. Recently it was introduced the semi-Markov process in the migration models (D’Amico et al. Decis
Econ Finan 28:79–93, 2005a). The introduction of semi-Markov processes permits to overtake some of the Markov constraints given by the dependence of
transition probabilities on the duration into a rating category. In this paper, it is shown how it is possible to take into
account simultaneously backward and forward processes at beginning and at the end of the time in which the credit risk model
is observed. With such a generalization, it is possible to consider what happens inside the time after the first transition
and before the last transition where the problem is studied. This paper generalizes other papers presented before. The model
is presented in a discrete time environment. |
| |
Keywords: | |
本文献已被 SpringerLink 等数据库收录! |
|