Markov chain Monte Carlo estimation of default and recovery : dependent vial the latent systematic factor
Xiaolin Luo; Pavel V. Shevchenko
| Year of publication: |
2013
|
|---|---|
| Authors: | Luo, Xiaolin ; Shevchenko, Pavel V. |
| Published in: |
The journal of credit risk : published quarterly by Incisive Media. - London : Infopro Digital, ISSN 1744-6619, ZDB-ID 2170422-3. - Vol. 9.2013, 3, p. 40-76
|
| Subject: | Kreditrisiko | Credit risk | Kreditsicherung | Collateral | Risikomodell | Risk model | Markov-Kette | Markov chain | Monte-Carlo-Simulation | Monte Carlo simulation | Statistische Methode | Statistical method |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010239244