Modelling tail credit risk using transition matrices.
David E. AllenA. R. KramadibrataR. J. PowellAbhay K. SinghPublished in: Math. Comput. Simul. (2013)
Keyphrases
- credit risk
- transition matrices
- credit risk evaluation
- markov decision processes
- evaluation method
- credit scoring
- risk analysis
- commercial banks
- exchange rate
- evaluation model
- logistic regression
- credit card
- financial data
- fraud detection
- neural network
- graphical models
- briefly introduced
- probability distribution
- bayesian networks