Rating-transition-probability models, under the asymptotic single-risk-factor model framework, are widely used in the industry for stress testing and multi-period scenario loss projection. For a ...

An increased risk of credit-related exposures and the contagion effect of the recent global financial crisis have led to stringent regulations and the need for accurate credit risk models. Under the ...

This study introduces a Markov network process called a string-net. Its state is the vector of quantities of customers or units that move among the nodes, and a transition of the network consists of a ...