Modelling credit grade migration in large portfolios using cumulative \(t\)-link transition models (Q323448): Difference between revisions

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Property / full work available at URL: https://doi.org/10.1016/j.ejor.2016.03.017 / rank
 
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Latest revision as of 17:20, 12 July 2024

scientific article
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Modelling credit grade migration in large portfolios using cumulative \(t\)-link transition models
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    Modelling credit grade migration in large portfolios using cumulative \(t\)-link transition models (English)
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    7 October 2016
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    Markov processes
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    cumulative link
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    heavy-tailed
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    logistic
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    probit
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