A coupled Markov chain approach to credit risk modeling
Year of publication: |
2012
|
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Authors: | Wozabal, David ; Hochreiter, Ronald |
Published in: |
Journal of economic dynamics & control. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1889, ZDB-ID 717409-3. - Vol. 36.2012, 3, p. 403-415
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Subject: | Credit risk | Markov models | Ratings | Conditional value-at-risk | Bond portfolios | Theorie | Theory | Kreditrisiko | Markov-Kette | Markov chain | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | Kreditwürdigkeit | Credit rating |
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