Parameter estimation and stress testing of portfolio credit risk based on transition probability distribution

SHI Ruoshi, HE Yinjie, ZHAO Yanlong, BAO Ying

Systems Engineering - Theory & Practice ›› 2024, Vol. 44 ›› Issue (3) : 893-911.

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Systems Engineering - Theory & Practice ›› 2024, Vol. 44 ›› Issue (3) : 893-911. DOI: 10.12011/SETP2023-0678

Parameter estimation and stress testing of portfolio credit risk based on transition probability distribution

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{{article.zuoZheEn_L}}. {{article.title_en}}. Systems Engineering - Theory & Practice, 2024, 44(3): 893-911 https://doi.org/10.12011/SETP2023-0678

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