On a multivariate Markov chain model for credit risk measurement

DOI10.1080/14697680500383714zbMath1134.91485OpenAlexW2003187930MaRDI QIDQ3375399

Wai-Ki Ching, S. Eric Fung, Tak Kuen Siu, Michael Kwok-Po Ng

Publication date: 8 March 2006

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

Full work available at URL: https://doi.org/10.1080/14697680500383714

zbMATH Keywords

linear programmingcredibility theorytransition matricescorrelated credit migrations

Mathematics Subject Classification ID

Related Items (14)

A new improved parsimonious multivariate Markov chain model ⋮ A higher-order interactive hidden Markov model and its applications ⋮ Perfect simulation of steady-state Markov chain on mixed state space ⋮ Computation of the steady-state probability of Markov chain evolving on a mixed state space ⋮ Estimation and inference in multivariate Markov chains ⋮ Predicting credit ratings and transition probabilities: a simple cumulative link model with firm-specific frailty ⋮ A flexible Markov chain approach for multivariate credit ratings ⋮ A multivariate Markov chain stock model ⋮ Credit risk migration rates modeling as open systems: a micro-simulation approach ⋮ A new multivariate Markov chain model for adding a new categorical data sequence ⋮ Higher-order multivariate Markov chains and their applications ⋮ On Perturbation Bounds for the Joint Stationary Distribution of Multivariate Markov Chain Models ⋮ The price leadership share: a new measure of price discovery in financial markets ⋮ New uniqueness conditions for the stationary probability matrix of transition probability tensors

Uses Software

• Excel

Cites Work

• Recursive valuation of defaultable securities and the timing of resolution of uncertainty
• Subjective risk measures: Bayesian predictive scenarios analysis
• A synthesis of risk measures for capital adequacy
• DEFAULT RISK INSURANCE AND INCOMPLETE MARKETS
• A multivariate Markov chain model for categorical data sequences and its applications in demand predictions
• A dynamic binomial expansion technique for credit risk measurement: a Bayesian filtering approach
• Bayesian Risk Measures for Derivatives via Random Esscher Transform

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