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Homogeneous semi-Markov reliability models for credit risk management*
Guglielmo D’Amico; Janssen, Jacques; Manca, Raimondo - In: Decisions in Economics and Finance 28 (2006) 2, pp. 79-93
Persistent link: https://www.econbiz.de/10005622543
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Discrete Time Non-Homogeneous Semi-Markov Reliability Transition Credit Risk Models and the Default Distribution Functions
Guglielmo D’Amico; Janssen, Jacques; Manca, Raimondo - In: Computational Economics 38 (2011) 4, pp. 465-481
Persistent link: https://www.econbiz.de/10009401756
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Valuing credit default swap in a non-homogeneous semi-Markovian rating based model
Guglielmo D’Amico; Janssen, Jacques; Manca, Raimondo - In: Computational Economics 29 (2007) 2, pp. 119-138
Persistent link: https://www.econbiz.de/10005674192