Markov chain lumpability and applications to credit risk modelling in compliance with the International Financial Reporting Standard 9 framework

DOI10.1016/j.ejor.2020.11.014zbMath1487.60133OpenAlexW3103455011MaRDI QIDQ2030488

Yanyan Li

Publication date: 7 June 2021

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2020.11.014

zbMATH Keywords

financelumpabilitydiscrete Markov chainscredit risk modelling

Mathematics Subject Classification ID

Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Credit risk (91G40)

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MODELING LIFETIME EXPECTED CREDIT LOSSES ON BANK LOANS

Cites Work

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