Credit risk: A Markovian approach to modelling correlated defaults - The authors unveil a simple dynamic binomial credit model with a Poissonian mixing distribution to satisfy the constraints faced by financial institutions assessing their credit exposure in a consistent manner over time thanks to the Markovian property of the model.
| Year of publication: |
2005
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| Authors: | Putyatin, Vladyslav ; Prieul, David ; Maslova, Svetlana |
| Published in: |
Risk : managing risk in the world's financial markets. - London : Incisive Financial Publ, ISSN 0952-8776, ZDB-ID 10494753. - Vol. 18.2005, 5, p. 76-80
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