Bivariate Semi-Markov Process for Counterparty Credit Risk
  We consider the problem of constructing an appropriate multivariate model for the study of the counterparty credit risk in credit rating migration problem. For this financial problem different multivariate Markov chain models were proposed. However the markovian assumption may be inappropriate for the study of the dynamic of credit ratings which typically show non markovian like behaviour. In this paper we develop a semi-Markov approach to the study of the counterparty credit risk by defining a new multivariate semi-Markov chain model. Methods are given for computing the transition probabilities, reliability functions and the price of a risky Credit Default Swap. 
Guglielmo D'Amico, Raimondo Manca and Giovanni Salvi
math.PR q-fin.CP q-fin.RM