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~person:"Kaniovski, Yuri M."
~subject:"Markov chain"
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Markov chain
Credit risk
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Kreditrisiko
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Markov-Kette
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Credit rating
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Kreditwürdigkeit
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conditional migration probability
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Kaniovski, Yuri M.
Pflug, Georg
3
Boreiko, D. V.
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Central European journal of operations research : CEJOR ; official journal of the Austrian, Croatian, Czech, Hungarian, Slovakian and Slovenian OR Societies
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Computational economics
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Journal of banking & finance
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ECONIS (ZBW)
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Numerical modeling of dependent credit rating transitions with asynchronously moving industries
Boreiko, D. V.
;
Kaniovski, Yuri M.
;
Pflug, Georg
- In:
Computational economics
49
(
2017
)
3
,
pp. 499-516
Persistent link: https://www.econbiz.de/10011762130
Saved in:
2
Modeling dependent credit rating transitions : a comparison of coupling schemes and empirical evidence
Boreiko, D. V.
;
Kaniovski, Yuri M.
;
Pflug, Georg
- In:
Central European journal of operations research : CEJOR …
24
(
2016
)
4
,
pp. 989-1007
Persistent link: https://www.econbiz.de/10011694781
Saved in:
3
Risk assessment for credit portfolios : a coupled Markov chain model
Kaniovski, Yuri M.
;
Pflug, Georg
- In:
Journal of banking & finance
31
(
2007
)
8
,
pp. 2303-2323
Persistent link: https://www.econbiz.de/10003522921
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