Credit Risk Measurement Based on the Markov Chain
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References listed on IDEAS
- Lutz G. Arnold & John G. Riley, 2009.
"On the Possibility of Credit Rationing in the Stiglitz-Weiss Model,"
American Economic Review, American Economic Association, vol. 99(5), pages 2012-2021, December.
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- Linda Allen & Anthony Saunders, 2004. "Incorporating Systemic Influences Into Risk Measurements: A Survey of the Literature," Journal of Financial Services Research, Springer;Western Finance Association, vol. 26(2), pages 161-191, October.
- Tak-Kuen Siu & Wai-Ki Ching & S. Eric Fung & Michael Ng, 2005. "On a multivariate Markov chain model for credit risk measurement," Quantitative Finance, Taylor & Francis Journals, vol. 5(6), pages 543-556.
- Dean Fantazzini & Silvia Figini, 2009. "Random Survival Forests Models for SME Credit Risk Measurement," Methodology and Computing in Applied Probability, Springer, vol. 11(1), pages 29-45, March.
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JEL classification:
- R00 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General - - - General
- Z0 - Other Special Topics - - General
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