Identification of hidden Markov chains governing dependent credit-rating migrations

DOI10.1080/03610926.2017.1342841OpenAlexW2730957248MaRDI QIDQ5860766

Serguei Kaniovski, D. V. Boreiko, Georg Ch. Pflug, Yuri M. Kaniovski

Publication date: 22 November 2021

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2017.1342841

zbMATH Keywords

mixtureheuristicsMarkov chainmaximum likelihoodmultinomial distribution

Mathematics Subject Classification ID

Credit risk (91G40)

Related Items (2)

Exploring the dynamics of business survey data using Markov models ⋮ Bank-sourced credit transition matrices: estimation and characteristics

Cites Work

• A coupled Markov chain approach to credit risk modeling
• Modeling dependent credit rating transitions: a comparison of coupling schemes and empirical evidence
• Identifiability of parameters in latent structure models with many observed variables
• A hidden Markov model of credit quality

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