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ArticleRisk assessment for credit portfolios: A coupled Markov chain model

Yuri M. Kaniovski2007

Article2007

Risk assessment for credit portfolios: A coupled Markov chain model

Yuri M. Kaniovski · Georg Ch. Pflug

39 citations·0/0 files stored·Journal of Banking & Finance

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Credit Risk and Financial Regulations Stochastic processes and financial applications Financial Risk and Volatility Modeling

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References

1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*1974On the Pricing of Corporate Debt: The Risk Structure of Interest Rates 2002Correlation and Dependence in Risk Management: Properties and Pitfalls 2000On Default Correlation 1966Market and Industry Factors in Stock Price Behavior 2001Counterparty Risk and the Pricing of Defaultable Securities 2003Credit Risk : Pricing, Measurement, and Management 2004Valuation of a CDO and an n -th to Default CDS Without Monte Carlo Simulation

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2011A coupled Markov chain approach to credit risk modeling 2010Value-at-Risk optimization using the difference of convex algorithm

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Year2007

Typearticle

Published2007-02-17

VenueJournal of Banking & Finance

ISSN-L0378-4266

Languageen

Citations39

Files0 public / 0

ShelfCredit Risk and Financial Regulations

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doi10.1016/j.jbankfin.2007.02.005

openalex_workW2010169818

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