Zobrazeno 1 - 3
of 3
pro vyhledávání: '"Yuriy Kaniovski"'
Publikováno v:
Computational Management Science. 18:563-589
Assuming a favorable or an adverse outcome for every combination of a credit class and an industry sector, a binary string, termed as a macroeconomic scenario, is considered. Given historical transition counts and a model for dependence among credit-
Publikováno v:
Computational Management Science. 16:621-649
Business tendency surveys are widely used for monitoring economic activity. They provide timely feedback on the current business conditions and outlook. We identify the unobserved macroeconomic factors behind the distribution of quarterly responses b
Publikováno v:
Communications in Statistics - Theory and Methods. 48:75-87
Three models of dependent credit-rating migrations are considered. Each of them entails a coupling scheme and a discrete-time Markovian macroeconomic dynamics. Every credit-rating migration is mode...