Two-Dimensional Markovian Model for Dynamics of Aggregate Credit Loss
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Publication:3572020
DOI10.1016/S0731-9053(08)22010-4zbMath1189.91214MaRDI QIDQ3572020
A. V. Lopatin, Timur Misirpashaev
Publication date: 30 June 2010
Published in: Econometrics and Risk Management (Search for Journal in Brave)
62P05: Applications of statistics to actuarial sciences and financial mathematics
65C40: Numerical analysis or methods applied to Markov chains
91G20: Derivative securities (option pricing, hedging, etc.)
91G40: Credit risk
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