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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
Saved in:
2
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
Saved in:
3
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
Saved in:
4
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
Saved in:
5
Semi-Markov risk models for finance, insurance and reliability
Janssen, Jacques
;
Manca, Raimondo
-
2007
Persistent link: https://www.econbiz.de/10003408642
Saved in:
6
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
Saved in:
7
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
Saved in:
8
Semi-markov migration models for credit risk
D'Amico, Guglielmo
;
Di Biase, Giuseppe
;
Janssen, Jacques
; …
-
2017
Persistent link: https://www.econbiz.de/10011660584
Saved in:
9
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
Saved in:
10
Bivariate semi-Markov reward chain and credit spreads
D'Amico, Guglielmo
;
Manca, Raimondo
;
Sassoferrato, Il
- In:
IMA journal of management mathematics
27
(
2016
)
4
,
pp. 529-556
Persistent link: https://www.econbiz.de/10011739966
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