Downward migration credit risk problem : a non-homogeneous backward semi-Markov reliability approach
Guglielmo D’Amico , Jacques Janssen, Raimondo Manca
| Year of publication: |
March 2016
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|---|---|
| Authors: | D'Amico, Guglielmo ; Janssen, Jacques ; Manca, Raimondo |
| Published in: |
Journal of the Operational Research Society : OR. - Basingstoke, Hampshire : Palgrave, ISSN 0030-3623, ZDB-ID 716033-1. - Vol. 67.2016, 3, p. 393-401
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| Subject: | Finance | reliability | risk | stochastic processes | Kreditrisiko | Credit risk | Stochastischer Prozess | Stochastic process | Theorie | Theory | Markov-Kette | Markov chain | Risikomanagement | Risk management | Risiko | Risk |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1057/jors.2015.35 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011489555