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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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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
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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
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Stochastic contagion models without immunity : their long term behaviour and the optimal level of treatment
Kovacevic, Raimund - In: Central European journal of operations research : CEJOR … 26 (2018) 2, pp. 395-421
Persistent link: https://www.econbiz.de/10011866126