Estimation of Loan Portfolio Risk on the Basis of Markov Chain Model

DOI10.1007/978-3-642-36062-6_21zbMath1264.93240OpenAlexW1438534488MaRDI QIDQ4927279

G. A. Timofeeva, Nikolaĭ Mikhaĭlovich Timofeev

Publication date: 19 June 2013

Published in: IFIP Advances in Information and Communication Technology (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-36062-6_21

zbMATH Keywords

Markov chainincomplete informationloan portfolio

Mathematics Subject Classification ID

Control/observation systems with incomplete information (93C41) Discrete-time control/observation systems (93C55) Estimation and detection in stochastic control theory (93E10) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Portfolio theory (91G10)

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