Credit risk migration rates modeling as open systems: a micro-simulation approach

DOI10.1016/J.CNSNS.2017.05.028OpenAlexW2625048347MaRDI QIDQ2205806

Mariacristina Uberti, Simone Casellina, Simone Landini

Publication date: 21 October 2020

Published in: Communications in Nonlinear Science and Numerical Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cnsns.2017.05.028

zbMATH Keywords

computational methods and micro-simulationcredit risk rating migration modelingeconomic capital provisionexperimental non linear science

Mathematics Subject Classification ID

General and overarching topics; collections (00-XX)

Related Items (2)

Credit risk measures and the estimation error in the ASRF model under the Basel II IRB approach ⋮ Financial fragility and credit risk: a simulation model

Uses Software

• Unnamed Item

Cites Work

• On a multivariate Markov chain model for credit risk measurement

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