Modelling credit grade migration in large portfolios using cumulative \(t\)-link transition models (Q323448)
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scientific article; zbMATH DE number 6636518
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| English | Modelling credit grade migration in large portfolios using cumulative \(t\)-link transition models |
scientific article; zbMATH DE number 6636518 |
Statements
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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0.8862239
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0.8828188
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0.88037246
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0.87999374
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0.86814475
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0.86472446
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0.86262655
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0.8568353
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