Markov chain model with catastrophe to determine mean time to default of credit risky assets (Q1696966): Difference between revisions

@@ Property / DOI @@
-.1007/s10955-017-1890-z
@@ Property / DOI: 10.1007/s10955-017-1890-z / rank @@
-Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1007/s10955-017-1890-z
+Normal rank
@@ Property / OpenAlex ID @@
+W2763973933
@@ Property / OpenAlex ID: W2763973933 / rank @@
+Normal rank
@@ Property / cites work @@
+A simple Markov chain structure for the evolution of credit ratings
+Normal rank
@@ Property / cites work @@
+Modeling dependent credit rating transitions: a comparison of coupling schemes and empirical evidence
+Normal rank
@@ Property / cites work @@
+Rate of occurrence of failures (ROCOF) of higher-order for Markov processes: analysis, inference and application to financial credit ratings
+Normal rank
@@ Property / cites work @@
+Initial and final backward and forward discrete time non-homogeneous semi-Markov credit risk models
+Normal rank
@@ Property / cites work @@
+A continuous-time Ehrenfest model with catastrophes and its jump-diffusion approximation
+Normal rank
@@ Property / cites work @@
+A reduced-form model for correlated defaults with regime-switching shot noise intensities
+Normal rank
@@ Property / cites work @@
+Term Structures of Credit Spreads with Incomplete Accounting Information
+Normal rank
@@ Property / cites work @@
+Markov chain models for delinquency: Transition matrix estimation and forecasting
+Normal rank
@@ Property / cites work @@
+Q4076577
@@ Property / cites work: Q4076577 / rank @@
+Normal rank
@@ Property / cites work @@
+A dependent hidden Markov model of credit quality
@@ Property / cites work: A dependent hidden Markov model of credit quality / rank @@
+Normal rank
@@ Property / cites work @@
+A coupled Markov chain approach to credit risk modeling
+Normal rank
@@ Property / DOI @@
+.1007/S10955-017-1890-Z
@@ Property / DOI: 10.1007/S10955-017-1890-Z / rank @@
+Normal rank