Modelling Portfolio Defaults Using Hidden Markov Models with Covariates

DOI10.1111/J.1368-423X.2008.00232.XMaRDI QIDQ3499433zbMATH OpenOpenAlexFDO

Authors Konrad Banachewicz, André Lucas, Aad van der Vaart

Publication date 29 May 2008

Published in Econometrics Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1368-423x.2008.00232.x

Mathematics Subject Classification ID

Stochastic models in economics (91B70)

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Cites work

• Analysis of default data using hidden Markov models

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• A decision-theoretic approach for segmental classification
• Tail dependence of generalized modified skew slash distribution
• Modelling species abundance in a river by negative binomial hidden Markov models
• Insurance claims modulated by a hidden Brownian marked point process
• Modeling default data via an interactive hidden Markov model
• Modeling frailty-correlated defaults using many macroeconomic covariates
• Forecasting with non-homogeneous hidden Markov models
• Forecasting with non-homogeneous hidden Markov models
• Markov-modulated Ornstein-Uhlenbeck processes

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