A hidden Markov model of credit quality

DOI10.1016/J.JEDC.2008.03.006zbMATH Open1181.91326OpenAlexW2017831237MaRDI QIDQ2654428FDOQ2654428

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

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zbMATH Keywords

EM algorithmhidden Markov modelsfilteringcredit quality

Mathematics Subject Classification ID

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

Cites Work

• AN APPROACH TO TIME SERIES SMOOTHING AND FORECASTING USING THE EM ALGORITHM
• Title not available (Why is that?)
• New finite-dimensional filters for parameter estimation of discrete-time linear Gaussian models

Cited In (21)

• Modeling default data via an interactive hidden Markov model
• A coupled Markov chain approach to credit risk modeling
• An extended likelihood framework for modelling discretely observed credit rating transitions
• Analysis of default data using hidden Markov models
• A dependent hidden Markov model of credit quality
• FINANCIAL SIGNAL PROCESSING: A SELF CALIBRATING MODEL
• Application of nonlinear filtering to credit risk
• RATING TRANSITIONS FORECASTING: A FILTERING APPROACH
• Extracting information from spot interest rates and credit ratings using double higher-order hidden Markov models
• Efficient Bayesian estimation of the multivariate double chain Markov model
• Modeling dependent credit rating transitions: a comparison of coupling schemes and empirical evidence
• Modelling Portfolio Defaults Using Hidden Markov Models with Covariates
• A HIDDEN MARKOV APPROACH TO THE FORWARD PREMIUM PUZZLE
• EM algorithm for Markov chains observed via Gaussian noise and point process information: theory and case studies
• Smoothed Parameter Estimation for a Hidden Markov Model of Credit Quality
• Title not available (Why is that?)
• Probabilistic prediction of credit ratings: a filtering approach
• Data-driven modeling of the temporal evolution of breakers' states in the French electrical transmission grid
• Interacting default intensity with a hidden Markov process
• Identification of hidden Markov chains governing dependent credit-rating migrations
• Initial model selection for the Baum-Welch algorithm applied to credit scoring

Uses Software

• astsa

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