Forecasting credit migration matrices with business cycle effects—a model comparison
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DOI: 10.1080/13518470701773635
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- Dimitris Gavalas & Theodore Syriopoulos, 2014. "Bank Credit Risk Management and Rating Migration Analysis on the Business Cycle," IJFS, MDPI, vol. 2(1), pages 1-22, March.
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Keywords
credit risk; transition matrices; forecasting; credit VaR;All these keywords.
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