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The problem of credit risk is an important problem in finance. It consists of computing the probability of a firm defaulting on a debt. The time evolution of rating for credit risk models can be studied by means of Markov transition models. This book looks at the homogeneous and non-homogeneous semi...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Otros Autores: Catlere, Patrick N.
Formato: Electrónico eBook
Idioma:Inglés
Publicado: New York : Nova Science Publishers, ©2009.
Temas:
Financial futures.
Hedging (Finance)
Risk management.
Risk Management
Marchés à terme d'instruments financiers.
Couverture (Finances)
Gestion du risque.
risk management.
BUSINESS & ECONOMICS > Investments & Securities > Futures.
Financial futures
Risk management
Acceso en línea:Texto completo
Descripción
Sumario:The problem of credit risk is an important problem in finance. It consists of computing the probability of a firm defaulting on a debt. The time evolution of rating for credit risk models can be studied by means of Markov transition models. This book looks at the homogeneous and non-homogeneous semi-Markov backward credit risk migration models.
Descripción Física:1 online resource (x, 271 pages) : illustrations
Bibliografía:Includes bibliographical references and index.
ISBN:9781608766703
1608766705

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