The multi-state latent factor intensity model for credit rating transitions (Q290969): Difference between revisions

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Property / DOI: 10.1016/j.jeconom.2007.07.001 / rank
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Property / full work available at URL: https://doi.org/10.1016/j.jeconom.2007.07.001 / rank
 
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Latest revision as of 13:31, 9 December 2024

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The multi-state latent factor intensity model for credit rating transitions
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    The multi-state latent factor intensity model for credit rating transitions (English)
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    3 June 2016
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    unobserved components
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    credit cycles
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    duration model
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    generator matrix
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    Monte Carlo likelihood
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