A flexible Markov chain approach for multivariate credit ratings (Q431910)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 6052439
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | A flexible Markov chain approach for multivariate credit ratings |
scientific article; zbMATH DE number 6052439 |
Statements
A flexible Markov chain approach for multivariate credit ratings (English)
0 references
3 July 2012
0 references
credit ratings
0 references
portfolio credit risk
0 references
multivariate Markov chain
0 references
positive association
0 references
negative association
0 references
linear programming
0 references
credit value at risk
0 references
credit expected shortfall
0 references
0.8781912326812744
0 references
0.8575371503829956
0 references
0.8137273192405701
0 references
0.7982687950134277
0 references
