Modeling dependent credit rating transitions: a comparison of coupling schemes and empirical evidence (Q519025)
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scientific article; zbMATH DE number 6700267
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Modeling dependent credit rating transitions: a comparison of coupling schemes and empirical evidence |
scientific article; zbMATH DE number 6700267 |
Statements
Modeling dependent credit rating transitions: a comparison of coupling schemes and empirical evidence (English)
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4 April 2017
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hidden variable
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coupled Markov chain
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idiosyncratic component
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common component
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maximum likelihood
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correlation
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0.9126751
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0.9068969
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0.90545726
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0.8873615
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0.8862239
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0.88180554
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0.87793076
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