D'AMICO et al., 2011 - Google Patents
A non-homogeneous semi-Markov reward model for the credit spread computationD'AMICO et al., 2011
- Document ID
- 13689901902629836242
- Author
- D'AMICO G
- Janssen J
- Manca R
- Publication year
- Publication venue
- International Journal of Theoretical and Applied Finance
External Links
Snippet
In this paper, we present a model to describe the evolution of the yield spread by considering the rating evaluation as the determinant of credit spreads. The underlying rating migration process is assumed to be a non-homogeneous discrete time semi-Markov …
- 238000000034 method 0 abstract description 29
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