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Estimation of a Markov Model of Loan Seasoning with Aggregated Performance Data

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  • Robert B. Avery
  • Michael Gordy

    (Federal Reserve Board)

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  • Robert B. Avery & Michael Gordy, "undated". "Estimation of a Markov Model of Loan Seasoning with Aggregated Performance Data," Computing in Economics and Finance 1997 95, Society for Computational Economics.
  • Handle: RePEc:sce:scecf7:95
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    Cited by:

    1. Donald Morgan & Adam Ashcraft, 2003. "Using Loan Rates to Measure and Regulate Bank Risk: Findings and an Immodest Proposal," Journal of Financial Services Research, Springer;Western Finance Association, vol. 24(2), pages 181-200, October.

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