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.

PDF(1302 KB)
中国科学院数学与系统科学研究院期刊网
PDF(1302 KB)
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

  • SHI Ruoshi1,2, HE Yinjie2,3, ZHAO Yanlong2,3, BAO Ying4
Author information +
History +

HeighLight

{{article.keyPoints_en}}

Abstract

{{article.zhaiyao_en}}

Key words

QR code of this article

Cite this article

EndNote

Ris (Procite)

Bibtex

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

References

Publishing order | Descend order by publishing year | Descend order by cited within

References

{{article.reference}}

Funding

RIGHTS & PERMISSIONS

{{article.copyrightStatement_en}}
{{article.copyrightLicense_en}}
PDF(1302 KB)

Accesses

Citation

Detail
Sections
Recommended

/

〈 〉