A coupled Markov chain approach to credit risk modeling (Q433652)
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scientific article; zbMATH DE number 6053461
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A coupled Markov chain approach to credit risk modeling |
scientific article; zbMATH DE number 6053461 |
Statements
A coupled Markov chain approach to credit risk modeling (English)
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5 July 2012
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credit risk
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Markov models
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ratings
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conditional value-at-risk
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Bond portfolios
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0.9502266
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0.91708034
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0.9161931
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0.9092516
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0.9065292
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0.90367997
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