scientific article; zbMATH DE number 5010403
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Publication:3374073
zbMATH Open1126.91382MaRDI QIDQ3374073FDOQ3374073
Publication date: 9 March 2006
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- 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
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