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|b eng
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|d OCLCF
|d OCLCQ
|d UEJ
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|a 9781119415114
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|a 111941511X
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|b 000062162591
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|a (OCoLC)990614694
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|a QA274.7
|b .S465 2017
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|a 332.7
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|a UAMI
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|a D'Amico, Guglielmo.
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|a Semi-Markov Migration Models for Credit Risk.
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|a London :
|b John Wiley & Sons, Incorporated,
|c 2016.
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| 300 |
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|a 1 online resource (321 pages)
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| 336 |
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|a text
|b txt
|2 rdacontent
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|a computer
|b c
|2 rdamedia
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|a online resource
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|2 rdacarrier
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|a Print version record.
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|a Cover; Half-Title Page; Title Page; Copyright Page; Contents; Introduction; 1. Semi-Markov Processes Migration Credit Risk Models; 1.1. Rating and migration problems ; 1.1.1. Ratings; 1.1.2. Migration problem; 1.1.3. Impact of rating on spreads for zero bonds; 1.1.4. Homogeneous Markov chain model; 1.1.5. Migration models; 1.2. Homogeneous semi-Markov processes ; 1.2.1. Basic definitions; 1.2.2. The Z SMP and the evolution equation system; 1.2.3. Special cases of SMP; 1.2.4. Sojourn times and their distributions; 1.3. Homogeneous semi-Markov reliability model.
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|a 1.4. Homogeneous semi-Markov migration model 1.4.1. Equivalence with the reliability problem; 1.4.2. Transient results; 1.4.3. Asymptotic results; 1.4.4. Example; 1.5. Discrete time non-homogeneous case ; 1.5.1. NHSMPs and evolution equations; 1.5.2. The Z NHSMP; 1.5.3. Sojourn times and their distributions; 1.5.4. Non-homogeneous semi-Markov reliability model; 1.5.5. The non-homogeneous semi-Markov migration model; 1.5.6. A non-homogeneous example; 2. Recurrence Time HSMP and NHSMP: Credit Risk Applications; 2.1. Introduction; 2.2. Recurrence times.
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|a 2.3. Transition probabilities of homogeneous SMP and non-homogeneous SMP with recurrence times2.3.1. Transition probabilities with initial backward; 2.3.2. Transition probabilities with initial forward; 2.3.3. Transition probabilities with final backward and forward; 2.3.4. Transition probabilities with initial and final backward; 2.3.5. Transition probabilities with initial and final forward; 2.3.6. Transition probabilities with initial and final backward and forward; 2.4. Reliability indicators of HSMP and NHSMP with recurrence times; 2.4.1. Reliability indicators with initial backward.
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|a 2.4.2. Reliability indicators with initial forward2.4.3. Reliability indicators with initial and final backward; 2.4.4. Reliability indicators with initial and final backward and forward; 3. Recurrence Time Credit Risk Applications; 3.1. S & P's basic rating classes; 3.1.1 Homogeous case; 3.1.2. Non-homogeneous case; 3.2. S & P's basic rating classes and NR state; 3.2.1. Homogeneous case; 3.2.2. Non-homogeneous case; 3.3. S & P's downward rating classes; 3.3.1. An application; 3.4. S & P's basic rating classes & NR1 and NR2 states; 3.5. Cost of capital implications.
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|a 4. Mono-Unireducible Markov and Semi-Markov Processes4.1. Introduction; 4.2. Graphs and matrices; 4.3. Single-unireducible non-homogeneous Markov chains; 4.4. Single-unireducible semi-Markov chains; 4.5. Mono-unireducible non-homogeneous backward semi-Markov chains; 4.6. Real data credit risk application; 5. Non-Homogeneous Semi-Markov Reward Processes and Credit Spread Computation; 5.1. Introduction; 5.2. The reward introduction; 5.3. The DTNHSMRWP spread rating model; 5.4. The algorithm description; 5.5. A numerical example; 5.5.1. Data; 5.5.2. Results.
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| 500 |
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|a 6. NHSMP Model for the Evaluation of Credit Default Swaps.
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| 590 |
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|a ProQuest Ebook Central
|b Ebook Central Academic Complete
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| 650 |
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|a Markov processes.
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| 650 |
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|a Processus de Markov.
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| 650 |
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|a Markov processes
|2 fast
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| 700 |
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|a Di Biase, Giuseppe.
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| 700 |
1 |
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|a Janssen, Jacques.
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| 700 |
1 |
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|a Manca, Raimondo.
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| 758 |
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|i has work:
|a Semi-Markov migration models for credit risk (Text)
|1 https://id.oclc.org/worldcat/entity/E39PCGmJ3QR3YWH8mPhQMCvXHP
|4 https://id.oclc.org/worldcat/ontology/hasWork
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| 776 |
0 |
8 |
|i Print version:
|a D'Amico, Guglielmo.
|t Semi-Markov Migration Models for Credit Risk.
|d London : John Wiley & Sons, Incorporated, ©2016
|z 9781848219052
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| 856 |
4 |
0 |
|u https://ebookcentral.uam.elogim.com/lib/uam-ebooks/detail.action?docID=4875245
|z Texto completo
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| 938 |
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|a ProQuest Ebook Central
|b EBLB
|n EBL4875245
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| 994 |
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|a 92
|b IZTAP
|
