Modeling default data via an interactive hidden Markov model

DOI10.1007/S10614-009-9183-5zbMath1195.91176OpenAlexW2067275643MaRDI QIDQ846148

Tak Kuen Siu, Wai-Ki Ching, Tang Li, Li-Min Li, Wai Keung Li

Publication date: 1 February 2010

Published in: Computational Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10614-009-9183-5

zbMATH Keywords

hidden Markov model (HMM)feedback effectbinomial expansion techniquedefault datainteractive hidden Markov model (IHMM)

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Markov processes: estimation; hidden Markov models (62M05) Credit risk (91G40)

Related Items (3)

Hidden Markov models with threshold effects and their applications to oil price forecasting ⋮ A Columnwise Update Algorithm for Sparse Stochastic Matrix Factorization ⋮ RATING TRANSITIONS FORECASTING: A FILTERING APPROACH

Cites Work

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• A dynamic binomial expansion technique for credit risk measurement: a Bayesian filtering approach
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• Analysis of default data using hidden Markov models

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