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~person:"Fung, S. Eric"
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Correlated credit migrations
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Fung, S. Eric
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On a multivariate Markov chain model for credit risk measurement
Siu, Tak-Kuen
;
Ching, Wai-Ki
;
Fung, S. Eric
;
Ng, Michael
- In:
Quantitative Finance
5
(
2005
)
6
,
pp. 543-556
In this paper, we use
credibility
theory
to estimate credit transition matrices in a multivariate Markov chain model …
Persistent link: https://www.econbiz.de/10009208379
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