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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

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

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

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

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

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

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

Semi-markov migration models for credit risk

D'Amico, Guglielmo; Di Biase, Giuseppe; Janssen, Jacques; … - 2017

Persistent link: https://www.econbiz.de/10011660584

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

Portfolio optimization of credit risky bonds : a semi-Markov process approach

Pasricha, Puneet; Selvamuthu, Dharmaraja; D'Amico, Guglielmo - In: Financial innovation : FIN 6 (2020) 25, pp. 1-14

This article presents a semi-Markov process based approach to optimally select a portfolio consisting of credit risky bonds. The criteria to optimize the credit portfolio is based on l∞-norm risk measure and the proposed optimization model is formulated as a linear programming problem. The...

Persistent link: https://www.econbiz.de/10012268914