Numerical estimates of risk factors contingent on credit ratings

DOI10.1007/s10287-021-00405-9OpenAlexW3176547383MaRDI QIDQ6166932

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Publication date: 4 August 2023

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

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

zbMATH Keywords

maximum likelihoodgenetic algorithmcombinatorial complexityrandom searchpenaltymacroeconomic scenario

Mathematics Subject Classification ID

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

Cites Work

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

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