The robustness of simulation-based Markovian transition probabilities for ultra-small samples of non-performing credit

DOI10.1080/14697680903580080zbMath1277.91182OpenAlexW2044668498MaRDI QIDQ2866402

George A. Christodoulakis

Publication date: 13 December 2013

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680903580080

zbMATH Keywords

probabilityMarkov processcredit risktransitionnon-performing credit

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Credit risk (91G40)

Cites Work

• Further experience in Bayesian analysis using Monte Carlo integration
• Finite Markov processes in psychology
• SISAM and MIXIN: Two algorithms for the computation of posterior moments and densities using Monte Carlo integration
• Estimation of Time-Varying Markov Processes with Aggregate Data
• Bayesian Estimates of Equation System Parameters: An Application of Integration by Monte Carlo

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