Modeling dependent credit rating transitions : a comparison of coupling schemes and empirical evidence
D. V. Boreiko, Y. M. Kaniovski, G. Ch. Pflug
| Year of publication: |
December 2016
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| Authors: | Boreiko, D. V. ; Kaniovski, Yuri M. ; Pflug, Georg |
| Published in: |
Central European journal of operations research : CEJOR ; official journal of the Austrian, Croatian, Czech, Hungarian, Slovakian and Slovenian OR Societies. - Berlin : Springer, ISSN 1435-246X, ZDB-ID 1178875-6. - Vol. 24.2016, 4, p. 989-1007
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| Subject: | Hidden variable | Coupled Markov chain | Idiosyncratic component | Common component | Maximum likelihood | Correlation | Markov-Kette | Markov chain | Schätzung | Estimation | Kreditwürdigkeit | Credit rating | Maximum-Likelihood-Schätzung | Maximum likelihood estimation | Korrelation | Kreditrisiko | Credit risk |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10100-015-0415-6 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011694781