Markov chain lumpability and applications to credit risk modelling in compliance with the International Financial Reporting Standard 9 framework

DOI10.1016/J.EJOR.2020.11.014zbMATH Open1487.60133OpenAlexW3103455011MaRDI QIDQ2030488FDOQ2030488

Authors: Yanyan Li 

Publication date: 7 June 2021

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2020.11.014

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zbMATH Keywords

financelumpabilitydiscrete Markov chainscredit risk modelling

Mathematics Subject Classification ID

Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Credit risk (91G40)

Cites Work

• Generalized inverses. Theory and applications.
• Generalized Inverses of Linear Transformations
• Markov property for a function of a Markov chain: A linear algebra approach
• Alternating projection methods.
• Exact and ordinary lumpability in finite Markov chains
• Dykstra's alternating projection algorithm for two sets
• Lumpability and Commutativity of Markov Processes
• Random effects model for credit rating transitions
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• Fixed-point algorithms for inverse problems in science and engineering. Based on the presentations at the interdisciplinary workshop, BIRS, Banff, Canada, November 1--6, 2009.
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• Credit risk model with contagious default dependencies affected by macro-economic condition
• An Approximate Test of Markov Chain Lumpability
• Lumpable Markov chains in risk management
• Algorithms for an irreducible and lumpable strong stochastic bound
• Credit scoring by incorporating dynamic networked information

Cited In (3)

• Lumpable Markov chains in risk management
• Modeling lifetime expected credit losses on bank loans
• Deep neural networks for probability of default modelling

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