A Flexible Markov Chain Approach for Multivariate Credit Ratings

Eric Fung () and Tak Kuen Siu

Computational Economics, 2012, vol. 39, issue 2, 135-143

Keywords: Credit ratings; Portfolio credit risk; Multivariate Markov chain; Positive association; Negative association; Linear programming; Credit value at risk; Credit expected shortfall (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (3)

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DOI: 10.1007/s10614-011-9258-y

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