Numerical estimates of risk factors contingent on credit ratings

DOI10.1007/S10287-021-00405-9MaRDI QIDQ6166932zbMATH OpenOpenAlexFDO

Authors

Publication date 4 August 2023

Published in Computational Management Science (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1007/s10287-021-00405-9

zbMATH Keywords

maximum likelihoodgenetic algorithmpenaltycombinatorial complexityrandom searchmacroeconomic scenario

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Nonlinear programming (90C30) Operations research and management science (90Bxx)

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Cites work

• A coupled Markov chain approach to credit risk modeling
• Exploring the dynamics of business survey data using Markov models
• Heuristic optimisation in financial modelling
• Modeling dependent credit rating transitions: a comparison of coupling schemes and empirical evidence

Cited in

(1)

• scientific article; zbMATH DE number 1475712 (Why is no real title available?)

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