Modelling Portfolio Defaults Using Hidden Markov Models with Covariates

DOI10.1111/J.1368-423X.2008.00232.XzbMATH Open1135.91358OpenAlexW2113667064MaRDI QIDQ3499433FDOQ3499433

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

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Mathematics Subject Classification ID

Stochastic models in economics (91B70)

Cites Work

• Analysis of default data using hidden Markov models

Cited In (9)

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

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