Testing Homogeneity of Time-Continuous Rating Transitions
Year of publication: |
2005
|
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Authors: | Lawrenz, Claudia ; Tschiersch, Patrick ; Weißbach, Rafael |
Publisher: |
Dortmund : Universität Dortmund, Sonderforschungsbereich 475 - Komplexitätsreduktion in Multivariaten Datenstrukturen |
Subject: | Kreditwürdigkeit | Matrizenrechnung | Zeitökonomik | Statistischer Test | Theorie | Deutschland | Portfolio credit risk | Rating transitions | Markov model | time-homogeneity | partial likelihood |
Series: | Technical Report ; 2005,34 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 504203169 [GVK] hdl:10419/22624 [Handle] RePEc:zbw:sfb475:200534 [RePEc] |
Classification: | G33 - Bankruptcy; Liquidation ; G18 - Government Policy and Regulation ; G11 - Portfolio Choice ; C51 - Model Construction and Estimation |
Source: |
-
Testing Homogeneity of Time-Continuous Rating Transitions
Lawrenz, Claudia, (2005)
-
On Partial Defaults in Portfolio Credit Risk : A Poisson Mixture Model Approach
Weißbach, Rafael, (2005)
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On Partial Defaults in Portfolio Credit Risk : A Poisson Mixture Model Approach
Weißbach, Rafael, (2005)
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Testing time-homogeneity of rating transitions after origination of debt
Weißbach, Rafael, (2009)
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Testing homogeneity of time-continuous rating transitions
Weißbach, Rafael, (2005)
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Testing Homogeneity of Time-Continuous Rating Transitions
Lawrenz, Claudia, (2005)
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