HAINAUT, DONATIEN; ROBERT, CHRISTIAN YANN - In: International Journal of Theoretical and Applied … 17 (2014) 07, pp. 1450046-1
This work intends to shed some light on a new use of Phase-type distributions in credit risk, taking into account different flows of information without huge numerical calculations. We consider credit migration models with partial information and study the influence of a deficit of information...