The multi-state latent factor intensity model for credit rating transitions (Q290969)
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scientific article; zbMATH DE number 6589313
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The multi-state latent factor intensity model for credit rating transitions |
scientific article; zbMATH DE number 6589313 |
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The multi-state latent factor intensity model for credit rating transitions (English)
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3 June 2016
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unobserved components
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credit cycles
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duration model
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generator matrix
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Monte Carlo likelihood
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