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20122023
most citedWeak convergence of path-dependent SDEs with irregular coefficients

8 citations · 57 across the 30 of their papers we have counts for

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q-fin.RM2016

Estimation and prediction of credit risk based on rating transition systems

Jinghai Shao, Siming Li, Yong Li

Risk management is an important practice in the banking industry. In this paper we develop a new methodology to estimate and predict the probability of default (PD) based on the ra…