A flexible Markov chain approach for multivariate credit ratings

DOI10.1007/S10614-011-9258-YzbMath1245.91097OpenAlexW2154868906MaRDI QIDQ431910

Tak Kuen Siu, Eric S. Fung

Publication date: 3 July 2012

Published in: Computational Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10614-011-9258-y

zbMATH Keywords

linear programmingnegative associationpositive associationportfolio credit riskcredit ratingsmultivariate Markov chaincredit expected shortfallcredit value at risk

Mathematics Subject Classification ID

Credit risk (91G40)

Related Items (2)

Estimation and inference in multivariate Markov chains ⋮ A multivariate Markov chain stock model

Uses Software

• Excel
• RiskMetrics

Cites Work

• Probabilistic Risk Analysis
• On a multivariate Markov chain model for credit risk measurement
• Building higher-order Markov chain models with EXCEL

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