Credit risk is one of the most important contemporary problems for banks and insurance companies. Indeed, for banks, more than forty percent of the equities are necessary to cover this risk. Though this problem is studied by large rating agencies with substantial economic, social and financial tools, building stochastic models is nevertheless necessary to complete this descriptive orientation.
This book presents a complete presentation of such a category of models using homogeneo...
Tabella dei contenuti
Chapter 1. Credit risk problem
Chapter 2. Semi-Markov processes credit risk models
Chapter 3. Recurrence time HSMP and NHSMP: credit risk applications
Chapt...
Circa l’autore
Guglielmo D’Amico, ‘G. d’Annunzio’ University of Chieti-Pescara, Italy.
Giuseppe Di Biase, ‘G. d’Annunzio’ University of Chieti-Pescara, Italy.
Jacques Janssen, Sol...