Modelling credit grade migration in large portfolios using cumulative t-link transition models
Jonathan J. Forster, Matteo Buzzacchi, Agus Sudjianto, Risa Nagao
| Year of publication: |
1 November 2016
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| Authors: | Forster, Jonathan J. ; Buzzacchi, Matteo ; Sudjianto, Agus ; Nagao, Risa |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 254.2016, 3 (1.11.), p. 977-984
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| Subject: | Markov processes | Cumulative link | Heavy-tailed | Logistic | Probit | Markov-Kette | Markov chain | Theorie | Theory | Portfolio-Management | Portfolio selection | Kreditrisiko | Credit risk | Schätzung | Estimation | Probit-Modell | Probit model | Statistische Verteilung | Statistical distribution |
| Type of publication: | Article |
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| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ejor.2016.03.017 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011521936