On a Multivariate Marcov Chain Model for Credit Risk Measurement

Tak Kuen Siu, W. K. Ching, E. S. Fung, M. K. Ng

Research output: Contribution to journalArticle

Original languageEnglish
Pages (from-to)543-556
Number of pages14
JournalQuantitative Finance
Volume5
Issue number6
Publication statusPublished - 2005

Cite this

Siu, T. K., Ching, W. K., Fung, E. S., & Ng, M. K. (2005). On a Multivariate Marcov Chain Model for Credit Risk Measurement. Quantitative Finance, 5(6), 543-556.