Semi-Markov Migration Models for Credit Risk

Semi-Markov Migration Models for Credit Risk

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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… (more)


Book Details  


Publisher: Wiley-Iste (May 31, 2017)

Format: EPUB

Page count: 316 pages

File size: 17 MB

Protection: DRM

Language: English


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