A Flexible Markov Chain Approach for Multivariate Credit Ratings
| Year of publication: |
2012
|
|---|---|
| Authors: | Fung, Eric ; Siu, Tak |
| Published in: |
Computational Economics. - Society for Computational Economics - SCE, ISSN 0927-7099. - Vol. 39.2012, 2, p. 135-143
|
| Publisher: |
Society for Computational Economics - SCE |
| Subject: | Credit ratings | Portfolio credit risk | Multivariate Markov chain | Positive association | Negative association | Linear programming | Credit value at risk | Credit expected shortfall |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10010866818