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.
Siu, Tak Kuen ; Ching, W. K. ; Fung, E. S. ; Ng, M. K. / On a Multivariate Marcov Chain Model for Credit Risk Measurement. In: Quantitative Finance. 2005 ; Vol. 5, No. 6. pp. 543-556.
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title = "On a Multivariate Marcov Chain Model for Credit Risk Measurement",
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year = "2005",
language = "English",
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pages = "543--556",
journal = "Quantitative Finance",
issn = "1469-7688",
publisher = "Routledge",
number = "6",

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Siu, TK, Ching, WK, Fung, ES & Ng, MK 2005, 'On a Multivariate Marcov Chain Model for Credit Risk Measurement', Quantitative Finance, vol. 5, no. 6, pp. 543-556.

On a Multivariate Marcov Chain Model for Credit Risk Measurement. / Siu, Tak Kuen; Ching, W. K.; Fung, E. S.; Ng, M. K.

In: Quantitative Finance, Vol. 5, No. 6, 2005, p. 543-556.

Research output: Contribution to journalArticle

TY - JOUR

T1 - On a Multivariate Marcov Chain Model for Credit Risk Measurement

AU - Siu, Tak Kuen

AU - Ching, W. K.

AU - Fung, E. S.

AU - Ng, M. K.

PY - 2005

Y1 - 2005

M3 - Article

VL - 5

SP - 543

EP - 556

JO - Quantitative Finance

JF - Quantitative Finance

SN - 1469-7688

IS - 6

ER -

Siu TK, Ching WK, Fung ES, Ng MK. On a Multivariate Marcov Chain Model for Credit Risk Measurement. Quantitative Finance. 2005;5(6):543-556.