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Modelling credit grade migration in large portfolios using cumulative t-link transition models.

Jonathan J. ForsterMatteo BuzzacchiAgus SudjiantoRisa Nagao
Published in: Eur. J. Oper. Res. (2016)
Keyphrases
  • prior knowledge
  • probabilistic model
  • complex systems
  • data sets
  • information systems
  • case study
  • model selection
  • statistical model
  • computational models
  • portfolio selection
  • credit scoring