Estimation of rating classes and default probabilities in credit risk models with dependencies (Q4620127)
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scientific article; zbMATH DE number 7015425
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| English | Estimation of rating classes and default probabilities in credit risk models with dependencies |
scientific article; zbMATH DE number 7015425 |
Statements
Estimation of rating classes and default probabilities in credit risk models with dependencies (English)
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8 February 2019
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regression with jump
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change point
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default probability
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rating class
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dependence
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strong consistency
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mixture model
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0.7871564030647278
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0.7635099291801453
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0.7337470650672913
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0.7251580357551575
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0.7201494574546814
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