Estimation of Transition Probability Matrices in Credit Risk Analysis

Laurent El Ghaoui and M. Oks and A. Varma

EECS Department, University of California, Berkeley

Technical Report No. UCB/ERL M00/60

2000

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http://www2.eecs.berkeley.edu/Pubs/TechRpts/2000/Archive/ERL-00-60.pdf

BibTeX citation:

@techreport{El Ghaoui:M00/60,
    Author= {El Ghaoui, Laurent and Oks, M. and Varma, A.},
    Title= {Estimation of Transition Probability Matrices in Credit Risk Analysis},
    Year= {2000},
    Month= {Jul},
    Url= {http://www2.eecs.berkeley.edu/Pubs/TechRpts/2000/3921.html},
    Number= {UCB/ERL M00/60},
}

EndNote citation:

%0 Report
%A El Ghaoui, Laurent 
%A Oks, M. 
%A Varma, A. 
%T Estimation of Transition Probability Matrices in Credit Risk Analysis
%I EECS Department, University of California, Berkeley
%D 2000
%@ UCB/ERL M00/60
%U http://www2.eecs.berkeley.edu/Pubs/TechRpts/2000/3921.html
%F El Ghaoui:M00/60