Markov chain lumpability and applications to credit risk modelling in compliance with the International Financial Reporting Standard 9 framework
K. Georgiou, G.N. Domazakis, D. Pappas, A.N. Yannacopoulos
| Year of publication: |
2021
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|---|---|
| Authors: | Georgiou, Kyriakos ; Domazakis, Georgios N. ; Pappas, Dimitrios ; Yannacopoulos, Athanasios N. |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 292.2021, 3 (1.8.), p. 1146-1164
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| Subject: | Credit risk modelling | Discrete Markov chains | Finance | Lumpability | Kreditrisiko | Credit risk | Markov-Kette | Markov chain | Theorie | Theory | IFRS |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ejor.2020.11.014 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012502431