Efficient credit portfolios under IFRS 9

DOI10.1111/ITOR.13137OpenAlexW3188545594MaRDI QIDQ6079987FDOQ6079987

Author name not available (Why is that?), Pedro Júdice

Publication date: 29 September 2023

Published in: International Transactions in Operational Research (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10316/95484

zbMATH Keywords

transition matricesstochastic simulationcredit riskIFRS 9CECLIAS 39

Mathematics Subject Classification ID

Operations research, mathematical programming (90-XX)

Cites Work

• Title not available (Why is that?)
• Algorithm AS 154: An Algorithm for Exact Maximum Likelihood Estimation of Autoregressive-Moving Average Models by Means of Kalman Filtering
• A new look at the statistical model identification
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• On a measure of lack of fit in time series models

Cited In (1)

• The performance of bank portfolio optimization

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