The computation of optimised credit transition matrices
Year of publication: |
2011
|
---|---|
Authors: | Long, Kete ; Keenan, Sean C. ; Neagu, Radu ; Ellis, John A. ; Black, Jason W. |
Published in: |
Journal of risk management in financial institutions. - London : Henry Stewart Publ., ISSN 1752-8887, ZDB-ID 2416788-5. - Vol. 4.2010/11, 4, p. 370-391
|
Subject: | Kreditrisiko | Credit risk | Markov-Kette | Markov chain | Statistische Verteilung | Statistical distribution | USA | United States |
-
Moments of renewal shot-noise processes and their applications
Jang, Jiwook, (2018)
-
Default probability estimation via pair copula constructions
Dalla Valle, Luciana, (2016)
-
Dependence in credit default swap and equity markets : dynamic copula with Markov-switching
Fei, Fei, (2017)
- More ...
-
The computation of optimised credit transition matrices
Long, Kete, (2011)
-
Black, Jason W., (2005)
-
The fallacy of an overly simplified asymptotic single-risk-factor model
Long, Kete, (2011)
- More ...