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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
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Discrete time non-homogeneous semi-markov reliability transition credit risk models and the default distribution functions
D'Amico, Guglielmo; Janssen, Jacques; Manca, Raimondo - In: Computational economics 38 (2011) 4, pp. 465-481
Persistent link: https://www.econbiz.de/10009356876
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A non-homogeneous semi-Markov reward model for the credit spread computation
D'Amico, Guglielmo; Janssen, Jacques; Manca, Raimondo - In: International journal of theoretical and applied finance 14 (2011) 2, pp. 221-238
Persistent link: https://www.econbiz.de/10008992173
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A duration dependent rating migration model : real data application and cost of capital estimation
D'Amico, Guglielmo; Di Biase, Giuseppe; Janssen, Jacques; … - In: Finance a úvěr 64 (2014) 3, pp. 233-245
Persistent link: https://www.econbiz.de/10010373383
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Semi-Markov risk models for finance, insurance and reliability
Janssen, Jacques; Manca, Raimondo - 2007
Persistent link: https://www.econbiz.de/10003408642
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Homogeneous semi-Markov reliability models for credit risk management
D'Amico, Guglielmo; Janssen, Jacques; Manca, Raimondo - In: Decisions in economics and finance : DEF ; a journal of … 28 (2005) 2, pp. 79-93
Persistent link: https://www.econbiz.de/10003231302
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Downward migration credit risk problem : a non-homogeneous backward semi-Markov reliability approach
D'Amico, Guglielmo; Janssen, Jacques; Manca, Raimondo - In: Journal of the Operational Research Society : OR 67 (2016) 3, pp. 393-401
Persistent link: https://www.econbiz.de/10011489555
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Semi-markov migration models for credit risk
D'Amico, Guglielmo; Di Biase, Giuseppe; Janssen, Jacques; … - 2017
Persistent link: https://www.econbiz.de/10011660584
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Homogeneous and non-homogeneous semi-Markov backward credit risk migration models
D'Amico, Guglielmo; Di Biase, Giuseppe; Janssen, Jacques; … - In: Financial hedging, (pp. 3-55). 2009
Persistent link: https://www.econbiz.de/10008799134