Markov chain models for delinquency: Transition matrix estimation and forecasting

DOI10.1002/asmb.827zbMath1397.60103OpenAlexW2045537026MaRDI QIDQ2862424

Scott D. Grimshaw, William P. Alexander

Publication date: 15 November 2013

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/asmb.827

zbMATH Keywords

empirical Bayesportfolio valuationdelinquency movement matrixDirichlet-multinomial posteriorloss forecastsroll rates

Mathematics Subject Classification ID

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

Related Items (3)

Estimating discrete Markov models from various incomplete data schemes ⋮ Markov chain model with catastrophe to determine mean time to default of credit risky assets ⋮ Adjusting covariance matrix for risk management

Cites Work

• Nonparametric estimation for nonhomogeneous Markov processes in the problem of competing risks
• Estimation of the Allowance for Doubtful Accounts by Markov Chains
• Statistical Inference about Markov Chains
• Calculation of Polychotomous Logistic Regression Parameters Using Individualized Regressions
• Estimation of a Stationary Markov Chain
• Informative Drop-Out in Longitudinal Data Analysis
• Unnamed Item
• Unnamed Item

This page was built for publication: Markov chain models for delinquency: Transition matrix estimation and forecasting