Valuing credit default swap in a non-homogeneous semi-Markovian rating based model

Guglielmo D’Amico (), Jacques Janssen () and Raimondo Manca ()

Computational Economics, 2007, vol. 29, issue 2, 119-138

Keywords: Non-homogeneous semi-Markov processes; Credit risk; Stochastic recovery rate; Default swap; Reliability (search for similar items in EconPapers)
Date: 2007
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Citations: View citations in EconPapers (2)

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DOI: 10.1007/s10614-006-9080-0

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