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A fractional credit model with long range dependent default rate

✍ Scribed by Biagini, Francesca; Fink, Holger; Klüppelberg, Claudia

Book ID
120631621
Publisher
Elsevier Science
Year
2013
Tongue
English
Weight
314 KB
Volume
123
Category
Article
ISSN
0304-4149

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## Abstract This paper studies a Markov chain model that, unlike the existing models, has a stochastic default rate model so as to reflect real world phenomena. We extend the existing Markov chain models as follows: First, our model includes both the economy‐wide and the rating‐specific factors, wh