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

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