Robust and consistent estimation of generators in credit risk

DOI10.1080/14697688.2017.1383627zbMath1400.91635arXiv1702.08867OpenAlexW2591990536MaRDI QIDQ4554476

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Publication date: 14 November 2018

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

Full work available at URL: https://arxiv.org/abs/1702.08867

zbMATH Keywords

EM algorithmMarkov chain Monte Carlocredit risklikelihood inferencetransition probability matrices

Mathematics Subject Classification ID

Credit risk (91G40)

Related Items

Predicting credit ratings and transition probabilities: a simple cumulative link model with firm-specific frailty, On the estimation of partially observed continuous-time Markov chains, An extended likelihood framework for modelling discretely observed credit rating transitions, Capturing model risk and rating momentum in the estimation of probabilities of default and credit rating migrations, Statistical inference for Markov chains with applications to credit risk

Uses Software

• ctmcd

Cites Work

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