The following information was submitted:
Transactions: INTERNATIONAL JOURNAL of MATHEMATICAL MODELS AND METHODS IN APPLIED SCIENCES
Transactions ID Number: 19-229
Full Name: Giuseppe Di Biase
Position: Associate Professor
Age: ON
Sex: Male
Address: via dei Vestini 31, 66013 CHIETI
Country: ITALY
Tel: +3908713554608
Tel prefix: 0039
Fax: +3908713554622
E-mail address: dibiase@unich.it
Other E-mails: g.damico@unich.it
Title of the Paper: semi-markov backward credit risk migration models: a case study
Authors as they appear in the Paper: Guglielmo D'Amico, Giuseppe Di Biase, Jacques Janssen, Raimondo Manca
Email addresses of all the authors: g.damico@unich.it,dibiase@unich.it,jacques.janssen@skynet.be,raimondo.manca@uniroma1.it
Number of paper pages: 11
Abstract: In this paper three different rating migration models are implemented by means of real financial data. The models consider alternative hypotheses in order to manage the rating class NR (no rating). Rating transition probabilities, default probabilities and the firm survival functions are, among all proposed indicators, the most important. They are evaluated for each of the three models. Data refers to long-term ratings from Standard & Poor's historical file, from 1975 to 2007. The mathematical tools used are, semi-Markov and backward recurrence time processes
Keywords: Migration models, Rating transitions, Default studies, NR rating class, Semi-markov chains, Backward process
EXTENSION of the file: .pdf
Special (Invited) Session: semi-markov backward credit risk migration models compared with markov models
Organizer of the Session: 101-136
How Did you learn about congress: Nikolaos Limnios E-mail:Nikolaos.Limnios@utc.fr,Sally McClean E-Mail:si.mcclean@ulster.ac.uk
IP ADDRESS: 192.167.13.132
