Robust and consistent estimation of generators in credit risk (Q4554476): Difference between revisions

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+Statistical Inference for Discretely Observed Markov Jump Processes
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+Robustness and sensitivity analysis of risk measurement procedures
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+The Logarithm Function for Finite-State Markov Semi-Groups
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+Finding Generators for Markov Chains via Empirical Transition Matrices, with Applications to Credit Ratings
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+A dependent hidden Markov model of credit quality
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+Consistent estimation for discretely observed Markov jump processes with an absorbing state
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+REGULATORY CAPITAL MODELING FOR CREDIT RISK
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+Publication:4554476