Abstract. The credit risk problem is one of the most important issues of modern ?nancial 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 means of homogeneous semi-Markov models is presented in this paper. The idea is to consider the credit risk problem as a reliability problem. In a semi-Markov environment it is possible to consider transition probabilities that change as a function of waiting time inside a state. The paper also shows how to apply semi-Markov reliability models in a credit risk environment. In the last section an example of the model is provided.
Homogeneous semi-Markov reliability models for credit risk management / D'Amico, G.; Janssen, J.; Manca, Raimondo. - In: DECISIONS IN ECONOMICS AND FINANCE. - ISSN 1593-8883. - STAMPA. - 28:(2006), pp. 79-93.
Homogeneous semi-Markov reliability models for credit risk management
MANCA, Raimondo
2006
Abstract
Abstract. The credit risk problem is one of the most important issues of modern ?nancial 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 means of homogeneous semi-Markov models is presented in this paper. The idea is to consider the credit risk problem as a reliability problem. In a semi-Markov environment it is possible to consider transition probabilities that change as a function of waiting time inside a state. The paper also shows how to apply semi-Markov reliability models in a credit risk environment. In the last section an example of the model is provided.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.