A nonlinear inversion procedure for modeling the effects of economic factors on credit risk migration
Year of publication: |
2023
|
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Authors: | Stokes, Jeffrey R. |
Published in: |
Review of quantitative finance and accounting. - Dordrecht [u.a.] : Springer, ISSN 1573-7179, ZDB-ID 2009625-2. - Vol. 61.2023, 3, p. 855-878
|
Subject: | CECL | Credit risk | Kullback–Leibler divergence | Markov chain | Ratings migration | Stress testing | z-score | Theorie | Theory | Kreditrisiko | Markov-Kette | Kreditwürdigkeit | Credit rating | Modellierung | Scientific modelling | Schätzung | Estimation |
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