Initial and Final Backward and Forward Discrete Ti

Authors: Guglielmo D’Amico Jacques Janssen Raimondo Manca

Publish Date: 2009/06/26

Volume: 12, Issue: 2, Pages: 215-225

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Abstract

In this paper we show how it is possible to construct an efficient Migration models in the study of credit risk problems presented in Jarrow et al Rev Financ Stud 10481–523 1997 with Markov environment Recently it was introduced the semiMarkov process in the migration models D’Amico et al Decis Econ Finan 2879–93 2005a The introduction of semiMarkov processes permits to overtake some of the Markov constraints given by the dependence of transition probabilities on the duration into a rating category In this paper it is shown how it is possible to take into account simultaneously backward and forward processes at beginning and at the end of the time in which the credit risk model is observed With such a generalization it is possible to consider what happens inside the time after the first transition and before the last transition where the problem is studied This paper generalizes other papers presented before The model is presented in a discrete time environment

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