Modeling dependent credit rating transitions: a comparison of coupling schemes and empirical evidence
DOI10.1007/s10100-015-0415-6zbMath1358.90169OpenAlexW1772441702WikidataQ59254850 ScholiaQ59254850MaRDI QIDQ519025
D. V. Boreiko, Yuri M. Kaniovski, Georg Ch. Pflug
Publication date: 4 April 2017
Published in: CEJOR. Central European Journal of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10100-015-0415-6
correlationmaximum likelihoodhidden variablecommon componentcoupled Markov chainidiosyncratic component
Applications of mathematical programming (90C90) Nonlinear programming (90C30) Financial applications of other theories (91G80) Credit risk (91G40)
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