Modelling tail credit risk using transition matrices

DOI10.1016/J.MATCOM.2012.09.011MaRDI QIDQ2227413zbMATH OpenOpenAlexFDO

Authors D. E. Allen, A. R. Kramadibrata, R. J. Powell, A. K. Singh

Publication date 15 February 2021

Published in Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.matcom.2012.09.011

zbMATH Keywords

conditional value at riskcredit modelsprobability of defaulttransition matrix

Mathematics Subject Classification ID

Credit risk (91G40)

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Cites work

• Coherent measures of risk
• Credit risk optimization with conditional Value-at-Risk criterion

Cited in

(4)

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• Modelling credit grade migration in large portfolios using cumulative t-link transition models
• scientific article; zbMATH DE number 5010403 (Why is no real title available?)
• Modeling of Dependent Credit Rating Transitions Governed by Industry-Specific Markovian Matrices

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