Modelling credit grade migration in large portfolios using cumulative t-link transition models
DOI10.1016/J.EJOR.2016.03.017zbMATH Open1348.91277OpenAlexW2335278644WikidataQ58296048 ScholiaQ58296048MaRDI QIDQ323448FDOQ323448
Authors: Jonathan J. Forster, Matteo Buzzacchi, Agus Sudjianto, Risa Nagao 
Publication date: 7 October 2016
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2016.03.017
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Cites Work
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- Bayesian Analysis of Binary and Polychotomous Response Data
- Bayesian variable and link determination for generalised linear models
- Distributions Generated by Perturbation of Symmetry with Emphasis on a Multivariate Skewt-Distribution
- Structural model of credit migration
Cited In (3)
- Assessing Markov property in multistate transition models with applications to credit risk modeling
- Modeling dependent credit rating transitions: a comparison of coupling schemes and empirical evidence
- Predicting credit ratings and transition probabilities: a simple cumulative link model with firm-specific frailty
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