Forecasting credit portfolio components with a Markov chain model

DOI10.1134/S0005117912040042zbMath1307.91169MaRDI QIDQ2261757

G. A. Timofeeva, N. A. Timofeev

Publication date: 13 March 2015

Published in: Automation and Remote Control (Search for Journal in Brave)

Mathematics Subject Classification ID

Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Portfolio theory (91G10) Credit risk (91G40)

Cites Work

• Optimal and suboptimal solutions to stochastically uncertain problems of quintile optimization
• Application of the bootstrap method for estimation of the quantile function
• Ellipsoidal methods for dynamics and control. I
• Statistical Inference about Markov Chains
• Least-squares estimation of transition probabilities from aggregate data
• Estimation of Time-Varying Markov Processes with Aggregate Data
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