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

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)

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Cites work

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

Cited in

(21)

• Initial model selection for the Baum-Welch algorithm applied to credit scoring
• 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
• A dependent hidden Markov model of credit quality
• Analysis of default data using hidden Markov models
• FINANCIAL SIGNAL PROCESSING: A SELF CALIBRATING MODEL
• Application of nonlinear filtering to credit risk
• Modeling dependent credit rating transitions: a comparison of coupling schemes and empirical evidence
• Efficient Bayesian estimation of the multivariate double chain Markov model
• Extracting information from spot interest rates and credit ratings using double higher-order hidden Markov models
• RATING TRANSITIONS FORECASTING: A FILTERING APPROACH
• 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
• scientific article; zbMATH DE number 7640338 (Why is no real title available?)
• 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

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Uses Software

• astsa

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