Markov chain models of portfolio credit risk

Tomasz R. Bielecki, Stéphane Crépey and Alexander Herbertsson

Year of publication:	2011
Authors:	Bielecki, Tomasz R.
Other Persons:	Crépey, Stéphane (contributor) ; Herbertsson, Alexander (contributor)
Published in:	The Oxford handbook of credit derivatives. - Oxford [u.a.] : Oxford Univ. Press, ISBN 978-0-19-966948-6. - 2011, p. 327-382
Subject:	Markov-Kette \| Markov chain \| Kreditrisiko \| Credit risk \| Portfolio-Management \| Portfolio selection \| Theorie \| Theory

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