Modeling dependent credit rating transitions: a comparison of coupling schemes and empirical evidence
type: Item
instance of: scholarly article
title: Modeling dependent credit rating transitions: a comparison of coupling schemes and empirical evidence
zbMATH Open document ID: 1358.90169
author: D. V. Boreiko
author: Yuri M. Kaniovski
author: Georg Ch. Pflug
published in: CEJOR. Central European Journal of Operations Research
publication date: 2017-04-04T00:00:00Z
Mathematics Subject Classification ID: 90C90
Mathematics Subject Classification ID: 90C30
Mathematics Subject Classification ID: 91G40
Mathematics Subject Classification ID: 91G80
zbMATH DE Number: 6700267
zbMATH Keywords: hidden variable
zbMATH Keywords: coupled Markov chain
zbMATH Keywords: idiosyncratic component
zbMATH Keywords: common component
zbMATH Keywords: maximum likelihood
zbMATH Keywords: correlation
describes a project that uses: Matlab
MaRDI profile type: Publication
full work available at URL: s10100-015-0415-6
OpenAlex ID: W1772441702
Wikidata QID: Q59254850
cites work: Identifiability of parameters in latent structure models with many observed variables
cites work: Q3287649
cites work: A hidden Markov model of credit quality
cites work: Q5491447
cites work: A coupled Markov chain approach to credit risk modeling
DOI: 10.1007/S10100-015-0415-6
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description: scientific article; zbMATH DE number 6700267