Composite likelihood for stochastic migration model with unobserved factor
Antoine Djogbenou, Christian Gouriéroux, Joann Jasiak and Maygol Bandehali
| Year of publication: |
2024
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|---|---|
| Authors: | Djogbenou, Antoine ; Gouriéroux, Christian ; Jasiak, Joann ; Bandehali, Maygol |
| Published in: |
Journal of financial econometrics. - Oxford : Oxford University Press, ISSN 1479-8417, ZDB-ID 2065613-0. - Vol. 22.2024, 5, p. 1421-1455
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| Subject: | Basel III | conditional composite likelihood | credit rating | factor model | granularity | migration model | statistical regulatory arbitrage | Kreditrisiko | Credit risk | Basler Akkord | Basel Accord | Kreditwürdigkeit | Credit rating | Faktorenanalyse | Factor analysis | Schätztheorie | Estimation theory | Stochastischer Prozess | Stochastic process | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/jjfinec/nbad031 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015338806