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A discrete Markov chain model for valuing loan portfolios. The case of Mexican loan sales

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  • del Angel, Gabriela F.
  • Diez-Canedo, Javier Marquez
  • Gorbea, Estela Patino

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  • del Angel, Gabriela F. & Diez-Canedo, Javier Marquez & Gorbea, Estela Patino, 1998. "A discrete Markov chain model for valuing loan portfolios. The case of Mexican loan sales," Journal of Banking & Finance, Elsevier, vol. 22(10-11), pages 1457-1480, October.
    • Handle: RePEc:eee:jbfina:v:22:y:1998:i:10-11:p:1457-1480
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    References listed on IDEAS

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    1. Smith, Vernon L, 1982. "Microeconomic Systems as an Experimental Science," American Economic Review, American Economic Association, vol. 72(5), pages 923-955, December.
    2. Milgrom, Paul R & Weber, Robert J, 1982. "A Theory of Auctions and Competitive Bidding," Econometrica, Econometric Society, vol. 50(5), pages 1089-1122, September.
    3. Roger B. Myerson, 1981. "Optimal Auction Design," Mathematics of Operations Research, INFORMS, vol. 6(1), pages 58-73, February.
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    Cited by:

    1. John Board & Charles Sutcliffe & William T. Ziemba, 2003. "Applying Operations Research Techniques to Financial Markets," Interfaces, INFORMS, vol. 33(2), pages 12-24, April.
    2. Ulrich Kaiser & Andrea Szczesny, 2003. "Ökonometrische Verfahren zur Modellierung von Kreditausfallwahrscheinlichkeiten: Logit- und Probit-Modelle," Schmalenbach Journal of Business Research, Springer, vol. 55(8), pages 790-822, December.
    3. He, Ping & Hua, Zhongsheng & Liu, Zhixin, 2015. "A quantification method for the collection effect on consumer term loans," Journal of Banking & Finance, Elsevier, vol. 57(C), pages 17-26.

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