Bivariate semi-Markov reward chain and credit spreads
Guglielmo D'Amico and Raimondo Manca and Giovanni Salvi
| Year of publication: |
October 2016
|
|---|---|
| Authors: | D'Amico, Guglielmo ; Manca, Raimondo ; Sassoferrato, Il |
| Published in: |
IMA journal of management mathematics. - Oxford : Oxford Univ. Press, ISSN 1471-678X, ZDB-ID 2074812-7. - Vol. 27.2016, 4, p. 529-556
|
| Subject: | reward process | bivariate semi-Markov chain | credit spread | Kreditrisiko | Credit risk | Markov-Kette | Markov chain | Zinsstruktur | Yield curve | Theorie | Theory | Unternehmensanleihe | Corporate bond | Risikoprämie | Risk premium |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/imaman/dpv009 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011739966