Monte Carlo semi-Markov methods for credit risk migration models and Basel II rules. II. (Q3607209)
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scientific article; zbMATH DE number 5521285
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| English | Monte Carlo semi-Markov methods for credit risk migration models and Basel II rules. II. |
scientific article; zbMATH DE number 5521285 |
Statements
28 February 2009
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semi-Markov process
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Monte Carlo modelling
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credit risk
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credit rating
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migration model
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0.8746605515480042
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0.8101722002029419
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0.8031166195869446
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0.7992981672286987
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