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Monounireducible Nonhomogeneous Continuous Time Semi-Markov Processes Applied to Rating Migration Models
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Journal Article
Monounireducible Nonhomogeneous Continuous Time Semi-Markov Processes Applied to Rating Migration Models
2012
Overview
Monounireducible nonhomogeneous semi- Markov processes are defined and investigated. The mono- unireducible topological structure is a sufficient condition that guarantees the absorption of the semi-Markov process in a state of the process. This situation is of fundamental importance in the modelling of credit rating migrations because permits the derivation of the distribution function of the time of default. An application in credit rating modelling is given in order to illustrate the results.
Publisher
Hindawi Puplishing Corporation,Hindawi Publishing Corporation
Subject
