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Valuing credit default swap in a non-homogeneous semi-Markovian rating based model
5 references·0 citing·19 second hop
Valuing credit default swap in a non-homogeneous semi-Markovian rating based model (2007)Valuing credit default swap in a non-homo…Homogeneous semi-Markov reliability models for credit risk management* (2006)Homogeneous semi-Markov relia…Stability of ratings transitions (2001)Stability of ratings transiti…Default and Recovery Rates of Corporate Bond Issuers: 2000 (2001)Default and Recovery Rates of…Stability of rating transitions (2000)Stability of rating transitio…Measuring Changes in Corporate Credit Quality (1994)Measuring Changes in Corporat…The Implications of Corporate Bond Ratings Drift (1992)The Credit Rating Industry (1995)Capital requirements and business cycle regimes: Forward-looking modelling of default probabilities (2005)Empirical credit cycles and capital buffer formation (2005)Split bond ratings and rating migration (2008)A Markov Model for the Term Structure of Credit Risk Spreads (1997)A comparative analysis of current credit risk models (2000)Full backward non-homogeneous semi-Markov processes for disability insurance models: A Catalunya real data application (2009)Initial and Final Backward and Forward Discrete Time Non-homogeneous Semi-Markov Credit Risk Models (2009)Downward migration credit risk problem: a non-homogeneous backward semi-Markov reliability approach (2015)The importance and subtlety of credit rating migration (1998)A Comparison of Bond Ratings from Moody's S&P and Fitch IBCA (1999)Quantifying Credit Risk II: Debt Valuation (2003)Analyzing rating transitions and rating drift with continuous observations (2002)Ratings migration and the business cycle, with application to credit portfolio stress testing (2002)How rating agencies achieve rating stability (2004)Credit risk measurement and procyclicality (2003)Default Recovery Rates in Credit Risk Modelling: A Review of the Literature and Empirical Evidence (2004)Modeling the effect of macroeconomic factors on corporate default and credit rating transitions (2011)
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References

  • 2000Stability of rating transitions562 cited
  • 2001Default and Recovery Rates of Corporate Bond Issuers: 2000228 cited
  • 1994Measuring Changes in Corporate Credit Quality128 cited
  • 2001Stability of ratings transitions100 cited
  • 2006Homogeneous semi-Markov reliability models for credit risk management*60 cited

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