Quantitative risk management revised edition mcneil pdf

We propose a Markov chain model for credit rating changes. We do not use any distributional assumptions on the asset values of the rated companies but

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We propose a Markov chain model for credit rating changes. We do not use any distributional assumptions on the asset values of the rated companies but directly model the rating transitions process. The parameters of the model are estimated by a maximum likelihood approach quantitative risk management revised edition mcneil pdf historical rating transitions and heuristic global optimization techniques.

We benchmark the model against a GLMM model in the context of bond portfolio risk management. The proposed model yields stronger dependencies and higher risks than the GLMM model. As a result, the risk optimal portfolios are more conservative than the decisions resulting from the benchmark model. Check if you have access through your login credentials or your institution. Research partly supported by the Austrian National Bank Jubiläumsfond Research Grant 12306. Enjoy proficient essay writing and custom writing services provided by professional academic writers.

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