A NON-HOMOGENEOUS SEMI-MARKOV REWARD MODEL FOR THE CREDIT SPREAD COMPUTATION
Year of publication: |
2011
|
---|---|
Authors: | D'AMICO, GUGLIELMO ; JANSSEN, JACQUES ; MANCA, RAIMONDO |
Published in: |
International Journal of Theoretical and Applied Finance (IJTAF). - World Scientific Publishing Co. Pte. Ltd., ISSN 1793-6322. - Vol. 14.2011, 02, p. 221-238
|
Publisher: |
World Scientific Publishing Co. Pte. Ltd. |
Subject: | Credit rating | reward | algorithm |
-
Credit rating prediction using Ant Colony optimization
Martens, David, (2010)
-
Reconsidering corporate ratings
Hassani, Bertrand, (2015)
-
Gikay, Asress Adimi, (2020)
- More ...
-
The dynamic behaviour of non-homogeneous single-unireducible Markov and semi-Markov chains
D'Amico, Guglielmo, (2009)
-
Homogeneous and non-homogeneous semi-Markov backward credit risk migration models
D'Amico, Guglielmo, (2009)
-
A non-homogeneous semi-Markov reward model for the credit spread computation
D'Amico, Guglielmo, (2011)
- More ...