A flexible Markov chain approach for multivariate credit ratings (Q431910)

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A flexible Markov chain approach for multivariate credit ratings
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    A flexible Markov chain approach for multivariate credit ratings (English)
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    3 July 2012
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    credit ratings
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    portfolio credit risk
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    multivariate Markov chain
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    positive association
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    negative association
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    linear programming
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    credit value at risk
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    credit expected shortfall
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