A dependent hidden Markov model of credit quality

DOI10.1155/2012/719237zbMath1251.91067OpenAlexW2123316294WikidataQ58689582 ScholiaQ58689582MaRDI QIDQ448329

Małgorzata Wiktoria Korolkiewicz

Publication date: 6 September 2012

Published in: International Journal of Stochastic Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2012/719237

Mathematics Subject Classification ID

Discrete-time Markov processes on general state spaces (60J05) Credit risk (91G40)

Related Items (3)

Robust and consistent estimation of generators in credit risk ⋮ Markov chain model with catastrophe to determine mean time to default of credit risky assets ⋮ Capturing model risk and rating momentum in the estimation of probabilities of default and credit rating migrations

Cites Work

• A coupled Markov chain approach to credit risk modeling
• Hierarchical Monte Carlo methods for fractal random fields
• A hidden Markov model of credit quality

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