Book

Semi-Markov migration models for credit risk

D'Amico, Guglielmo, author, Di Biase, Giuseppe, author, Janssen, Jacques, 1939- author, Manca, Raimondo, author

2017

Overview

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 a complete presentation of such a category of models using homogeneous and non-homogeneous semi-Markov processes developed by the authors in several recent papers.

• Publisher: iSTE ; Wiley
• Subject: Credit Mathematical models. / Financial risk management Mathematical models. / Markov processes. / Finance and Accounting.
• ISBN: 9781848219052

Item info:

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Holdings :

Call Number	Copies	Material	Location
HG3701.D36 2017	1	BOOK	BUSINESS