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A coupled Markov chain approach to credit risk modeling · Study

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ArticleA coupled Markov chain approach to credit risk modeling

David Wozabal2011

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Articlegreen2011

A coupled Markov chain approach to credit risk modeling

David Wozabal · Ronald Hochreiter

29 citations·0/0 files stored·Journal of Economic Dynamics and Control

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Credit Risk and Financial Regulations Stochastic processes and financial applications Financial Distress and Bankruptcy Prediction

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References

1999Coherent Measures of Risk 2000Optimization of conditional value-at-risk 1997A Markov Model for the Term Structure of Credit Risk Spreads 2002Stochastic Finance: An Introduction in Discrete Time 2011Quantitative Risk Management 2000A comparative analysis of current credit risk models 2000Some Remarks on the Value-at-Risk and the Conditional Value-at-Risk 2000A comparative anatomy of credit risk models

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Year2011

Typearticle

Published2011-10-20

VenueJournal of Economic Dynamics and Control

ISSN-L0165-1889

Languageen

Citations29

Files0 public / 0

ShelfCredit Risk and Financial Regulations

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doi10.1016/j.jedc.2011.09.011

openalex_workW2073972024

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