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Oct 10

Decomposing rating transition matrices

Posted by abiao at 19:01 | Code » VBA/Excel | Comments(0) | Reads(8428)
Spreadsheet for the calculation of:      
- the diagonal decomposition MDM^-1      
- the generating matrix A of the ratings process      
- the time-dependent transition matrix P(t)      

http://www.schonbucher.de/risk/index.html
spreadsheet http://www.schonbucher.de/risk/rating_case.xls


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