A coupled Markov chain approach to credit risk modeling
David Wozabal; Ronald Hochreiter
| Year of publication: |
2012
|
|---|---|
| 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
|
| Subject: | Credit risk | Markov models | Ratings | Conditional value-at-risk | Bond portfolios | Kreditrisiko | Markov-Kette | Markov chain | Theorie | Theory | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | Anleihe | Bond | Schätzung | Estimation | Kreditwürdigkeit | Credit rating |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009515963