Modelling credit grade migration in large portfolios using cumulative \(t\)-link transition models (Q323448): Difference between revisions
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| Property / cites work: Distributions Generated by Perturbation of Symmetry with Emphasis on a Multivariate Skew<i>t</i>-Distribution / rank | |||
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| Property / cites work: Structural model of credit migration / rank | |||
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| Property / cites work: Bayesian variable and link determination for generalised linear models / rank | |||
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Latest revision as of 17:20, 12 July 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Modelling credit grade migration in large portfolios using cumulative \(t\)-link transition models |
scientific article |
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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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