scientific article; zbMATH DE number 5010403
From MaRDI portal
Publication:3374073
zbMATH Open1126.91382MaRDI QIDQ3374073FDOQ3374073
Publication date: 9 March 2006
Title of this publication is not available (Why is that?)
Recommendations
- Modelling tail credit risk using transition matrices
- Computation for transition matrix and VaR in CreditMetrics model
- A transient Cramér-Lundberg model with applications to credit risk
- Bank-sourced credit transition matrices: estimation and characteristics
- Modeling of Dependent Credit Rating Transitions Governed by Industry-Specific Markovian Matrices
- Credit risk valuation with rating transitions and partial information
- An extended likelihood framework for modelling discretely observed credit rating transitions
- Generalized CreditRisk\(^+\) model and applications
- On the parameterization of the CreditRisk\(^+\) model for estimating credit portfolio risk
- Credit risk modeling with affine processes
Cited In (6)
- Computation for transition matrix and VaR in CreditMetrics model
- Modelling credit grade migration in large portfolios using cumulative \(t\)-link transition models
- Robust and consistent estimation of generators in credit risk
- Modeling of Dependent Credit Rating Transitions Governed by Industry-Specific Markovian Matrices
- On a multivariate Markov chain model for credit risk measurement
- Application of relevant matrix in credit evaluation
This page was built for publication:
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3374073)