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Modeling of dependent credit rating transitions governed by industry-specific Markovian matrices. (English) Zbl 1376.91168

Doerner, Karl Franz (ed.) et al., Operations research proceedings 2015. Selected papers of the international conference of the German, Austrian and Swiss operations research societies (GOR, ÖGOR, SVOR/ASRO), University of Vienna, Austria, September 1–4, 2015. Cham: Springer (ISBN 978-3-319-42901-4/pbk; 978-3-319-42902-1/ebook). Operations Research Proceedings, 525-531 (2017).
MSC:  91G40
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