Markov chain models for delinquency: Transition matrix estimation and forecasting

DOI10.1002/asmb.827zbMath1397.60103MaRDI QIDQ2862424

Scott D. Grimshaw, William P. Alexander

Publication date: 15 November 2013

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/asmb.827

zbMATH Keywords

empirical Bayes; portfolio valuation; delinquency movement matrix; Dirichlet-multinomial posterior; loss forecasts; roll rates

Mathematics Subject Classification ID

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

91G10: Portfolio theory

Related Items

Adjusting covariance matrix for risk management, Markov chain model with catastrophe to determine mean time to default of credit risky assets, Estimating discrete Markov models from various incomplete data schemes

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