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Semi-Markov migration models for cre...
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D'Amico, Guglielmo.
Semi-Markov migration models for credit risk
紀錄類型:
書目-電子資源 : Monograph/item
正題名/作者:
Semi-Markov migration models for credit riskGuglielmo D'Amico ... [et al.].
其他作者:
D'Amico, Guglielmo.
出版者:
London, UK :ISTE ;2017.
面頁冊數:
1 online resource
標題:
Markov processes.
電子資源:
https://onlinelibrary.wiley.com/doi/book/10.1002/9781119415084
ISBN:
9781119415084$q(electronic bk.)
Semi-Markov migration models for credit risk
Semi-Markov migration models for credit risk
[electronic resource] /Guglielmo D'Amico ... [et al.]. - 1st ed. - London, UK :ISTE ;2017. - 1 online resource - Stochastic models for insurance set ;v. 1. - Stochastic models for insurance set ;v. 1..
Includes bibliographical references and index.
Credit risk is one of the most important contemporary problems for banks and insurance companies. Indeed, for banks, more than forty percent of the equities are necessary to cover this risk. Though this problem is studied by large rating agencies with substantial economic, social and financial tools, building stochastic models is nevertheless necessary to complete this descriptive orientation. This book presents a complete presentation of such a category of models using homogeneous and non-homogeneous semi-Markov processes developed by the authors in several recent papers.
ISBN: 9781119415084$q(electronic bk.)
Standard No.: 10.1002/9781119415084doiSubjects--Topical Terms:
181910
Markov processes.
LC Class. No.: QA274.7
Dewey Class. No.: 519.2/33
Semi-Markov migration models for credit risk
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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.
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https://onlinelibrary.wiley.com/doi/book/10.1002/9781119415084
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