A hidden Markov model of credit quality

DOI10.1016/J.JEDC.2008.03.006MaRDI QIDQ2654428zbMATH OpenOpenAlexFDO

Authors Robert J. Elliott, Małgorzata Wiktoria Korolkiewicz

Publication date 19 January 2010

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jedc.2008.03.006

zbMATH Keywords

credit qualityEM algorithmfilteringhidden Markov models

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Credit risk (91G40) Statistical methods; risk measures (91G70)

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Cites work

• AN APPROACH TO TIME SERIES SMOOTHING AND FORECASTING USING THE EM ALGORITHM
• scientific article; zbMATH DE number 722978 (Why is no real title available?)
• New finite-dimensional filters for parameter estimation of discrete-time linear Gaussian models

Cited in

(22)

• EM algorithm for Markov chains observed via Gaussian noise and point process information: theory and case studies
• Data-driven modeling of the temporal evolution of breakers' states in the French electrical transmission grid
• Extracting information from spot interest rates and credit ratings using double higher-order hidden Markov models
• A HIDDEN MARKOV APPROACH TO THE FORWARD PREMIUM PUZZLE
• Modelling Portfolio Defaults Using Hidden Markov Models with Covariates
• FINANCIAL SIGNAL PROCESSING: A SELF CALIBRATING MODEL
• A coupled Markov chain approach to credit risk modeling
• A dependent hidden Markov model of credit quality
• Interacting default intensity with a hidden Markov process
• An extended likelihood framework for modelling discretely observed credit rating transitions
• scientific article; zbMATH DE number 7640338 (Why is no real title available?)
• Probabilistic prediction of credit ratings: a filtering approach
• Modeling dependent credit rating transitions: a comparison of coupling schemes and empirical evidence
• Initial model selection for the Baum-Welch algorithm applied to credit scoring
• Smoothed Parameter Estimation for a Hidden Markov Model of Credit Quality
• Analysis of default data using hidden Markov models
• Identification of hidden Markov chains governing dependent credit-rating migrations
• RATING TRANSITIONS FORECASTING: A FILTERING APPROACH
• Application of nonlinear filtering to credit risk
• A Markov approach to credit rating migration conditional on economic states
• Modeling default data via an interactive hidden Markov model
• Efficient Bayesian estimation of the multivariate double chain Markov model

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Uses Software

• astsa

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