Structured Dictionary Learning of Rating Migration Matrices for Credit Risk Modeling
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DOI: 10.1007/s00180-023-01449-y
Note: View the original document on HAL open archive server: https://hal.science/hal-03715954v2
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References listed on IDEAS
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- Florian Bourgey & Emmanuel Gobet & Clément Rey, 2020. "Meta-model of a large credit risk portfolio in the Gaussian copula model," Post-Print hal-02291548, HAL.
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More about this item
Keywords
Rating Migration Matrix; Dictionary learning; auto-regressive modeling; interpretability;All these keywords.
NEP fields
This paper has been announced in the following NEP Reports:- NEP-RMG-2024-04-15 (Risk Management)
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