This article deals with the problem of probabilistic prediction of the time distance to default for a firm. To model the credit risk, the dynamics of an asset is described as a function of a homogeneous discrete time Markov chain subject to a catastrophe, the default. The behaviour of the Markov chain is investigated and the mean time to the default is expressed in a closed form. The methodology to estimate the parameters is given. Numerical results are provided to illustrate the applicability of the proposed model on real data and their analysis is discussed.
|Titolo:||Markov Chain Model with Catastrophe to Determine Mean Time to Default of Credit Risky Assets|
TARDELLI, PAOLA [Membro del Collaboration Group]
|Data di pubblicazione:||2018|
|Appare nelle tipologie:||1.1 Articolo in rivista|