A duration dependent rating migration model : real data application and cost of capital estimation
Guglielmo D'Amico; Giuseppe Di Biase; Jacques Janssen; Raimondo Manca
| Year of publication: |
2014
|
|---|---|
| Authors: | D'Amico, Guglielmo ; Di Biase, Giuseppe ; Janssen, Jacques ; Manca, Raimondo |
| Published in: |
Finance a úvěr. - Praha : Datakonekt, ISSN 0015-1920, ZDB-ID 860318-2. - Vol. 64.2014, 3, p. 233-245
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| Subject: | semi-Markov models | survival analysis | default probability | Kapitalkosten | Cost of capital | Kreditrisiko | Credit risk | Schätztheorie | Estimation theory | Statistische Bestandsanalyse | Duration analysis | Markov-Kette | Markov chain | Wahrscheinlichkeitsrechnung | Probability theory | Schätzung | Estimation | Dauer | Duration |
| 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/10010373383