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

DOI10.1016/J.EJOR.2020.11.014MaRDI QIDQ2030488zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 3558452 (Why is no real title available?)
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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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