CREDIT RISK AND INCOMPLETE INFORMATION: FILTERING AND EM PARAMETER ESTIMATION

DOI10.1142/S0219024910005966zbMath1233.91298OpenAlexW2121867075MaRDI QIDQ2786032

Wolfgang J. Runggaldier, Claudio Fontana

Publication date: 16 September 2010

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024910005966

zbMATH Keywords

EM algorithmextended Kalman filterpartial informationcontagionfactor modelsdefault risk

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Probabilistic models, generic numerical methods in probability and statistics (65C20) Credit risk (91G40)

Related Items (4)

RATING TRANSITIONS FORECASTING: A FILTERING APPROACH ⋮ INTERBANK CREDIT RISK MODELING WITH SELF-EXCITING JUMP PROCESSES ⋮ Parameter Estimation in Credit Models Under Incomplete Information ⋮ A unified approach to pricing and risk management of equity and credit risk

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• New finite-dimensional filters for parameter estimation of discrete-time linear Gaussian models
• Book Review: Stochastic calculus for finance
• Credit risk: Modelling, valuation and hedging

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