A coupled Markov chain approach to credit risk modeling
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- David Wozabal & Ronald Hochreiter, 2009. "A Coupled Markov Chain Approach to Credit Risk Modeling," Papers 0911.3802, arXiv.org, revised Jan 2014.
References listed on IDEAS
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World Scientific Book Chapters,in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 18, pages 411-453
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- D. V. Boreiko & Y. M. Kaniovski & G. Ch. Pflug, 2016. "Modeling dependent credit rating transitions: a comparison of coupling schemes and empirical evidence," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 24(4), pages 989-1007, December.
- D. V. Boreiko & Y. M. Kaniovski & G. Ch. Pflug, 2017. "Numerical Modeling of Dependent Credit Rating Transitions with Asynchronously Moving Industries," Computational Economics, Springer;Society for Computational Economics, vol. 49(3), pages 499-516, March.
More about this item
KeywordsCredit risk; Markov models; Ratings; Conditional value-at-risk; Bond portfolios;
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G01 - Financial Economics - - General - - - Financial Crises
- C44 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Operations Research; Statistical Decision Theory
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
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