A Markov regenerative process with recurrence time and its application

Altman EI, Kao DL (1992a) The implications of corporate bond ratings drift. Financ Anal J 48(3):64–75 Altman EI, Kao DL (1992b) Rating drift in high-yield bonds. J Fixed Income 1(4):15–20 Altman EI, Kishore V (1996) Report on defaults and returns on high yield bonds: analysis through 1995. New York University Salomon Center, Leonard N. Stern School of Business, New York Carty LV, Fons JS (1994) Measuring changes in corporate credit quality. J Fixed Income 4(1):27–41 Christensen JH, Hansen E, Lando D (2004) Confidence sets for continuous-time rating transition probabilities. J Bank Finance 28(11):2575–2602 Cinlar E (1975) Introduction to stochastic processes. Printice-Hall, Englewood Cliffs D’Amico G (2011) Age-usage semi-Markov models. Appl Math Model 35(9):4354–4366 D’Amico G, Janssen J, Manca R (2010) Initial and final backward and forward discrete time non-homogeneous semi-Markov credit risk models. Methodol Comput Appl Probab 12(2):215–225 D’Amico G, Janssen J, Manca R (2011) Discrete time non-homogeneous semi-Markov reliability transition credit risk models and the default distribution functions. Comput Econ 38(4):465–481 D’Amico G, Janssen J, Manca R (2012) Monounireducible nonhomogeneous continuous time semi-Markov processes applied to rating migration models. Adv Decis Sci 2012:12 (Article ID 123635) D’Amico G, Janssen J, Manca R (2016) Downward migration credit risk problem: a non-homogeneous backward semi-Markov reliability approach. J Oper Res Soc 67(3):393–401 D’Amico G, Dharmaraja S, Manca R, Pasricha P (2019) A review of non-Markovian models for the dynamics of credit ratings. Rep Econ Finance 5(1):15–33 Duffie D, Singleton KJ (2003) Credit risk. Cambridge University Press, Cambridge Fons JS, Kimball AE (1991) Corporate bond defaults and default rates 1970–1990. J Fixed Income 1(1):36–47 Jarrow RA, Lando D, Turnbull SM (1997) A Markov model for the term structure of credit risk spreads. Rev Financ Stud 10(2):481–523 Jonsson JG, Fridson MS (1996) Forecasting default rates on high-yield bonds. J Fixed Income 6(1):69–77 Kavvathas D (2001) Estimating credit rating transition probabilities for corporate bonds. AFA 2001 New Orleans Meetings. https://doi.org/10.2139/ssrn.252517 Kijima M, Komoribayashi K (1998) A Markov chain model for valuing credit risk derivatives. J Deriv 6(1):97–108 Kou G, Peng Y, Wang G (2014) Evaluation of clustering algorithms for financial risk analysis using MCDM methods. Inf Sci 275:1–12 Kou G, Xu Y, Peng Y, Shen F, Chen Y, Chang K et al (2021) Bankruptcy prediction for SMEs using transactional data and two-stage multiobjective feature selection. Decis Support Syst 140:113429 Kulkarni VG (1996) Modeling and analysis of stochastic systems. CRC Press, Boca Raton Lando D, Skødeberg TM (2002) Analyzing rating transitions and rating drift with continuous observations. J Bank Finance 26(2):423–444 Nickell P, Perraudin W, Varotto S (2000) Stability of rating transitions. J Bank Finance 24(1):203–227 Pasricha P, Selvamuthu D, Viswanathan A (2017) Markov regenerative credit rating model. J Risk Finance 18(3):311–325 Richhariya NM, Debnath A, Sangoi M (2015) 2014 Annual global corporate default study and rating transitions. 1398386 | 301945678 1-126. Shen F, Zhao X, Kou G (2020) Three-stage reject inference learning framework for credit scoring using unsupervised transfer learning and three-way decision theory. Decis Support Syst 137:113366 Wang H, Kou G, Peng Y (2021) Multi-class misclassification cost matrix for credit ratings in peer-to-peer lending. J Oper Res Soc 72(4):923–934