A coupled Markov chain approach to credit risk modeling

DOI10.1016/j.jedc.2011.09.011zbMath1243.91101arXiv0911.3802OpenAlexW2073972024MaRDI QIDQ433652

Ronald Hochreiter, David Wozabal

Publication date: 5 July 2012

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0911.3802

zbMATH Keywords

Markov modelscredit riskconditional value-at-riskratingsBond portfolios

Mathematics Subject Classification ID

Credit risk (91G40)

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Cites Work

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• Bayesian analysis of structural credit risk models with microstructure noises
• Credit contagion and aggregate losses
• A hidden Markov model of credit quality
• Monotonicities in a Markov Chain Model for Valuing Corporate Bonds Subject to Credit Risk
• Adaptive Rejection Sampling for Gibbs Sampling
• Stochastic finance. An introduction in discrete time

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