Structured dictionary learning of rating migration matrices for credit risk modeling

DOI10.1007/S00180-023-01449-YMaRDI QIDQ6661272zbMATH OpenFDO

Authors Michaël Allouche, Emmanuel Gobet, Clara Lage, Edwin Mangin

Publication date 13 January 2025

Published in Computational Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/S00180-023-01449-Y

zbMATH Keywords

auto-regressive modelingdictionary learningGaussian Copula modelinterpretabilityrating migration matrix

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08)

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