Markov chain model with catastrophe to determine mean time to default of credit risky assets (Q1696966)
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scientific article; zbMATH DE number 6839203
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Markov chain model with catastrophe to determine mean time to default of credit risky assets |
scientific article; zbMATH DE number 6839203 |
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Markov chain model with catastrophe to determine mean time to default of credit risky assets (English)
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15 February 2018
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defaultable assets
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discrete time Markov chain
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mean time to default
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credit ratings
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