Modeling of Dependent Credit Rating Transitions Governed by Industry-Specific Markovian Matrices

DOI10.1007/978-3-319-42902-1_71MaRDI QIDQ4596247zbMATH OpenOpenAlexFDO

Authors D. V. Boreiko, Yuri M. Kaniovski, Georg Ch. Pflug

Publication date 1 December 2017

Published in Operations Research Proceedings (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-319-42902-1_71

Mathematics Subject Classification ID

Credit risk (91G40)

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(11)

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• Identification of hidden Markov chains governing dependent credit-rating migrations

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Uses Software

• Matlab

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