Modelling credit grade migration in large portfolios using cumulative t-link transition models
Year of publication: |
1 November 2016
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Authors: | Forster, Jonathan J. ; Buzzacchi, Matteo ; Sudjianto, Agus ; Nagao, Risa |
Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 254.2016, 3 (1.11.), p. 977-984
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Subject: | Markov processes | Cumulative link | Heavy-tailed | Logistic | Probit | Theorie | Theory | Markov-Kette | Markov chain | Portfolio-Management | Portfolio selection | Probit-Modell | Probit model | Kreditrisiko | Credit risk | Schätzung | Estimation |
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