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Volumn 28, Issue 2, 2006, Pages 79-93

Homogeneous semi-Markov reliability models for credit risk management

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EID: 33644522751     PISSN: 15938883     EISSN: None     Source Type: Journal    
DOI: 10.1007/s10203-005-0055-8     Document Type: Article
Times cited : (51)

References (22)
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  • 2
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    • Blasi, A.1    Janssen, J.2    Manca, R.3
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    • Measuring changes in corporate credit quality
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    • Markov renewal theory: A survey
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  • 6
    • 21244442700 scopus 로고    scopus 로고
    • Numerical treatment of homogeneous semi-Markov processes in transient case - A straight forward approach
    • Corradi, G., Janssen, J., Manca, R., (2004): Numerical treatment of homogeneous semi-Markov processes in transient case - a straight forward approach. Methodology and Computing in Applied Probability 6, 233-246
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  • 11
    • 0036071849 scopus 로고    scopus 로고
    • The estimation of transition matrices for sovereign credit ratings
    • Hu,Y.-T., Kiesel, R., Perraudin,W. (2002):THe estimation of transition matrices for sovereign credit ratings. Journal of Banking and Finance 26, 1383-1406
    • (2002) Journal of Banking and Finance , vol.26 , pp. 1383-1406
    • Hu, Y.-T.1    Kiesel, R.2    Perraudin, W.3
  • 12
    • 0035592363 scopus 로고    scopus 로고
    • Finding generators for Markov chains via empirical transition matrices, with applications to credit ratings
    • Israel, R.B., Rosenthal, J.S., Wei, J.Z. (2001): Finding generators for Markov chains via empirical transition matrices, with applications to credit ratings. Mathematical Finance 11, 245-265
    • (2001) Mathematical Finance , vol.11 , pp. 245-265
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  • 14
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    • Analyzing rating transitions and rating drift with continuous observations
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    • (2002) Journal of Banking and Finance , vol.26 , pp. 423-444
    • Lando, D.1    Skodeberg, T.M.2
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  • 20
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* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.