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Persistent link: https://www.econbiz.de/10011859947
Based on simulations of implied values for credit worthiness over a period of 5 years for 1000 consumers, we establish a case for the semi-markov models as a proxy for internal credit risk models for a portfolio of consumer loans. With ample calibration, we prove the robustness of the...
Persistent link: https://www.econbiz.de/10013044044