A hidden Markov model of credit quality

DOI10.1016/j.jedc.2008.03.006zbMath1181.91326OpenAlexW2017831237MaRDI QIDQ2654428

Robert J. Elliott, Małgorzata Wiktoria Korolkiewicz

Publication date: 19 January 2010

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2008.03.006

zbMATH Keywords

EM algorithmfilteringhidden Markov modelscredit quality

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Credit risk (91G40)

Related Items (8)

Efficient Bayesian estimation of the multivariate double chain Markov model ⋮ EM algorithm for Markov chains observed via Gaussian noise and point process information: theory and case studies ⋮ RATING TRANSITIONS FORECASTING: A FILTERING APPROACH ⋮ A coupled Markov chain approach to credit risk modeling ⋮ A dependent hidden Markov model of credit quality ⋮ Modeling dependent credit rating transitions: a comparison of coupling schemes and empirical evidence ⋮ Data-driven modeling of the temporal evolution of breakers' states in the French electrical transmission grid ⋮ Identification of hidden Markov chains governing dependent credit-rating migrations

Uses Software

• astsa

Cites Work

• Unnamed Item
• AN APPROACH TO TIME SERIES SMOOTHING AND FORECASTING USING THE EM ALGORITHM
• New finite-dimensional filters for parameter estimation of discrete-time linear Gaussian models

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