Two-Dimensional Markovian Model for Dynamics of Aggregate Credit Loss
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Publication:3572020
DOI10.1016/S0731-9053(08)22010-4zbMath1189.91214MaRDI QIDQ3572020
A. V. Lopatin, Timur Misirpashaev
Publication date: 30 June 2010
Published in: Econometrics and Risk Management (Search for Journal in Brave)
Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical analysis or methods applied to Markov chains (65C40) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)
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