Numerical modeling of dependent credit rating transitions with asynchronously moving industries
D.V. Boreiko, Y.M. Kaniovski, G. Ch. Pflug
| Year of publication: |
March 2017
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|---|---|
| Authors: | Boreiko, D. V. ; Kaniovski, Yuri M. ; Pflug, Georg |
| Published in: |
Computational economics. - Dordrecht [u.a.] : Springer, ISSN 0927-7099, ZDB-ID 1142021-2. - Vol. 49.2017, 3, p. 499-516
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| Subject: | Macroeconomic factor | Markov process | Loss distribution | Maximum likelihood | Credit rating | Monte-Carlo simulations | Correlation | Kreditwürdigkeit | Kreditrisiko | Credit risk | Markov-Kette | Markov chain | Theorie | Theory | Simulation | Monte-Carlo-Simulation | Monte Carlo simulation | Maximum-Likelihood-Schätzung | Maximum likelihood estimation | Statistische Verteilung | Statistical distribution | Korrelation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10614-016-9576-1 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011762130