Discrete time non-homogeneous semi-markov reliability transition credit risk models and the default distribution functions
Year of publication: |
2011
|
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Authors: | D'Amico, Guglielmo ; Janssen, Jacques ; Manca, Raimondo |
Published in: |
Computational economics. - Dordrecht [u.a.] : Springer, ISSN 0927-7099, ZDB-ID 1142021-2. - Vol. 38.2011, 4, p. 465-481
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Subject: | Kreditrisiko | Credit risk | Theorie | Theory | Markov-Kette | Markov chain | Insolvenz | Insolvency | Stochastischer Prozess | Stochastic process | Wahrscheinlichkeitsrechnung | Probability theory |
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