Bivariate Semi-Markov Process for Counterparty Credit Risk
نویسندگان
چکیده
منابع مشابه
Fuzzy semi-Markov migration process in credit risk
We explore the rating system used by credit agencies with a focus on problems that justify the use of fuzzy set theory. We prove that a fuzzy market is viable if and only if an equivalent martingale measure exists, from which we construct the forward probability measure and under which the discounted price of a default-free bond is a martingale. We model the evolution of credit migration of a d...
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ژورنال
عنوان ژورنال: Communications in Statistics - Theory and Methods
سال: 2014
ISSN: 0361-0926,1532-415X
DOI: 10.1080/03610926.2013.804563