Abstract
Modeling of credit risk is concerned with constructing and studying formal models of time evolution of credit ratings (credit migrations) in a pool of credit names, and with studying various properties of such models. In particular, this involves modeling and studying default times and their functionals.
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Bibliography
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Bielecki, T.R. (2021). Credit Risk Modeling. In: Baillieul, J., Samad, T. (eds) Encyclopedia of Systems and Control. Springer, Cham. https://doi.org/10.1007/978-3-030-44184-5_43
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DOI: https://doi.org/10.1007/978-3-030-44184-5_43
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