A coupled Markov chain approach to credit risk modeling
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Publication:433652
DOI10.1016/j.jedc.2011.09.011zbMath1243.91101arXiv0911.3802OpenAlexW2073972024MaRDI QIDQ433652
Ronald Hochreiter, David Wozabal
Publication date: 5 July 2012
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0911.3802
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- Credit contagion and aggregate losses
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- Monotonicities in a Markov Chain Model for Valuing Corporate Bonds Subject to Credit Risk
- Adaptive Rejection Sampling for Gibbs Sampling
- Stochastic finance. An introduction in discrete time
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