Semi-Markov migration models for credit risk
Biase, Giuseppe Di, D'Amico, Guglielmo, Janssen, Jacques, Manca, Raimondo
Credit risk is one of the most important contemporary problems for banks and insurance companies. Indeed, for banks, more than forty percent of the equities are necessary to cover this risk. Though this problem is studied by large rating agencies with substantial economic, social and financial tools, building stochastic models is nevertheless necessary to complete this descriptive orientation. This book presents a complete presentation of such a category of models using homogeneous and non-homogeneous semi-Markov processes developed by the authors in several recent papers.
Abstract: Credit risk is one of the most important contemporary problems for banks and insurance companies. Indeed, for banks, more than forty percent of the equities are necessary to cover this risk.
Abstract: Credit risk is one of the most important contemporary problems for banks and insurance companies. Indeed, for banks, more than forty percent of the equities are necessary to cover this risk.
類別:
年:
2017
出版商:
ISTE
語言:
english
頁數:
309
ISBN 10:
1848219059
ISBN 13:
9781848219052
系列:
Stochastic models for insurance set volume 1
文件:
PDF, 7.00 MB
IPFS:
,
english, 2017
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