An inhomogeneous semi-Markov model for the term structure of credit risk spreads
作者： Aglaia Vasileiou , P.-C. G. Vassiliou
关键词: Markov model 、 Forward algorithm 、 Probability measure 、 Mathematics 、 Continuous-time Markov chain 、 Actuarial science 、 Econometrics 、 Credit risk 、 Additive Markov chain 、 Corporate bond 、 Markov property
摘要: We model the evolution of credit migration a corporate bond as an inhomogeneous semi-Markov chain. The valuation defaultable is done with use forward probability no default up to maturity time. It proved that, under measure, property maintained. find functional relationships between transition sequences and real-world sequences. stochastic monotonicity properties model, which play prominent role in these issues, are studied detail. Finally, we study term structure spread, provide algorithm for estimation probabilities transitions risk premium assumptions, present method
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