A dependent hidden Markov model of credit quality
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Publication:448329
DOI10.1155/2012/719237zbMath1251.91067OpenAlexW2123316294WikidataQ58689582 ScholiaQ58689582MaRDI QIDQ448329
Małgorzata Wiktoria Korolkiewicz
Publication date: 6 September 2012
Published in: International Journal of Stochastic Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1155/2012/719237
Related Items (3)
Robust and consistent estimation of generators in credit risk ⋮ Markov chain model with catastrophe to determine mean time to default of credit risky assets ⋮ Capturing model risk and rating momentum in the estimation of probabilities of default and credit rating migrations
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