Assessing Markov property in multistate transition models with applications to credit risk modeling-Reference-Cited by-同舟云学术

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Assessing Markov property in multistate transition models with applications to credit risk modeling

Published:2018-05-25 Issue:3 Volume:35 Page:552-570
ISSN:1524-1904
Container-title:Applied Stochastic Models in Business and Industry
language:en
Short-container-title:Appl Stochastic Models Bus Ind

Author:

Yang Hanyu¹,Nair Vijayan N.¹,Chen Jie¹,Sudjianto Agus¹

Affiliation:

1. Corporate Model Risk, Wells Fargo Charlotte NC USA

Publisher

Wiley

Subject

Management Science and Operations Research,General Business, Management and Accounting,Modelling and Simulation

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1002/asmb.2336

Reference20 articles.

1. Estimation of the Allowance for Doubtful Accounts by Markov Chains

2. Estimation in accounting and auditing using Markov chains;Barkman A;J Account,1977

3. Pricing Derivatives on Financial Securities Subject to Credit Risk

4. GuptonGM FingerCC BhatiaM.CreditMetrics ‐ Technical Document.New York NY:JP Morgan;1997.

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1. Simulation model for analysis and evaluation of selected measures of the helicopter’s readiness;Proceedings of the Institution of Mechanical Engineers, Part G: Journal of Aerospace Engineering;2022-01-31

2. Evaluation of Machinery Readiness Using Semi-Markov Processes;Applied Sciences;2020-02-24

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