Semi-Markov Migration Models for Credit Risk.

Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: D'Amico, Guglielmo
Otros Autores: Di Biase, Giuseppe, Janssen, Jacques, Manca, Raimondo
Formato: Electrónico eBook
Idioma:Inglés
Publicado: London : John Wiley & Sons, Incorporated, 2016.
Temas:
Markov processes.
Processus de Markov.
Markov processes
Acceso en línea:Texto completo
Tabla de Contenidos:
  • 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.
  • 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.
  • 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.
  • 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.
  • 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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