A flexible Markov chain approach for multivariate credit ratings (Q431910)
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scientific article; zbMATH DE number 6052439
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A flexible Markov chain approach for multivariate credit ratings |
scientific article; zbMATH DE number 6052439 |
Statements
A flexible Markov chain approach for multivariate credit ratings (English)
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3 July 2012
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credit ratings
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portfolio credit risk
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multivariate Markov chain
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positive association
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negative association
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linear programming
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credit value at risk
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credit expected shortfall
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