• Economics
  • Published 2013

Credit risk modeling in a semi-Markov process environment

@inproceedings{Valle2013CreditRM,
  title={Credit risk modeling in a semi-Markov process environment},
  author={Alfredo Camacho Valle},
  year={2013}
}
In recent times, credit risk analysis has grown to become one of the most important problems dealt with in the mathematical finance literature. Fundamentally, the problem deals with estimating the probability that an obligor defaults on their debt in a certain time. To obtain such a probability, several methods have been developed which are regulated by the Basel Accord. This establishes a legal framework for dealing with credit and market risks, and empowers banks to perform their own… CONTINUE READING

Citations

Publications citing this paper.
SHOWING 1-2 OF 2 CITATIONS

References

Publications referenced by this paper.
SHOWING 1-10 OF 101 REFERENCES

The Rating Agencies: Where We Have Been and Where Do We Go From Here?, The Journal of Business, Entrepreneurship & the Law, Volume 3, Issue

D. J. Krebs
  • 2012

Anomalous Transport Theory and Applications in Biology and Finance: Random Walks Models and Fractional Equations, PhD Thesis, School of Mathematic

H. Al-Shamsi
  • 2011

Homogeneous and NonHomogeneous Semi-Markov Backward Credit Risk Migration Models,In

G. Damico, J. Janssen, R. Manca
  • Financial Hedging Ed. Patrick N. Catlere, Nova Science Publishers ISBN:
  • 2009

Measurement and Comparation of Credit Risk by Markov Chain, An Empirical Investigation of Banks Loans in Taiwan, International Research

Lu, S.L, K. J. Lee
  • Journal of Finance and Economics,
  • 2009

Review of the Literature on Credit Risk Modeling: Development of the Recent 10 Years, One-year-Master thesis in Applied Statistics, Hagskolan

C. H. Cheng, B. Zhang
  • Dalarna
  • 2009