A Flexible Markov Chain Approach for Multivariate Credit Ratings
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DOI: 10.1007/s10614-011-9258-y
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Cited by:
- João Nicolau & Flavio Riedlinger, 2015. "Estimation and inference in multivariate Markov chains," Statistical Papers, Springer, vol. 56(4), pages 1163-1173, November.
- Damásio, Bruno & Nicolau, João, 2024. "Time inhomogeneous multivariate Markov chains: Detecting and testing multiple structural breaks occurring at unknown dates," Chaos, Solitons & Fractals, Elsevier, vol. 180(C).
- Bruno Damásio & João Nicolau, 2020. "Time Inhomogeneous Multivariate Markov Chains: Detecting and Testing Multiple Structural Breaks Occurring at Unknown," Working Papers REM 2020/0136, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
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Keywords
Credit ratings; Portfolio credit risk; Multivariate Markov chain; Positive association; Negative association; Linear programming; Credit value at risk; Credit expected shortfall;All these keywords.
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