Structured dictionary learning of rating migration matrices for credit risk modeling

DOI10.1007/S00180-023-01449-YMaRDI QIDQ6661272

Clara Lage, Michaël Allouche, Emmanuel Gobet, Edwin Mangin

Publication date: 13 January 2025

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

zbMATH Keywords

interpretabilitydictionary learningrating migration matrixauto-regressive modelingGaussian Copula model

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08)

Cites Work

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