Estimating the probability of a non-Markovian rating transition from partially unobserved histories
Year of publication: |
2019
|
---|---|
Authors: | Weißbach, Rafael ; Schmal, Friederike |
Published in: |
Journal of risk management in financial institutions. - London : Henry Stewart Publ., ISSN 1752-8887, ZDB-ID 2416788-5. - Vol. 12.2018/2019, 3, p. 256-267
|
Subject: | EM algorithm | PD | missing data | non-Markovian process | rating transitions |
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