Evolutionary Estimation of a Coupled Markov Chain Credit Risk Model

DOI10.1007/978-3-642-13950-5_3zbMath1198.91236OpenAlexW1766617179MaRDI QIDQ3055531

Ronald Hochreiter, David Wozabal

Publication date: 8 November 2010

Published in: Natural Computing in Computational Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-13950-5_3

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Markov processes: estimation; hidden Markov models (62M05) Approximation methods and heuristics in mathematical programming (90C59) Computational methods for problems pertaining to game theory, economics, and finance (91-08) Credit risk (91G40)

Cites Work

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• Evolutionary optimization of transition probability matrices for credit decision-making
• Natural computing in computational finance.
• Biologically inspired algorithms for financial modelling.
• Evolutionary Stochastic Portfolio Optimization
• Natural Computing in Computational Finance (Volume 2): Introduction

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