A dependent hidden Markov model of credit quality

DOI10.1155/2012/719237zbMATH Open1251.91067OpenAlexW2123316294WikidataQ58689582 ScholiaQ58689582MaRDI QIDQ448329FDOQ448329

Authors: 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

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Mathematics Subject Classification ID

Discrete-time Markov processes on general state spaces (60J05) Credit risk (91G40)

Cites Work

• A hidden Markov model of credit quality
• A coupled Markov chain approach to credit risk modeling
• Hierarchical Monte Carlo methods for fractal random fields

Cited In (9)

• Modeling default data via an interactive hidden Markov model
• Analysis of default data using hidden Markov models
• 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
• Extracting information from spot interest rates and credit ratings using double higher-order hidden Markov models
• Robust and consistent estimation of generators in credit risk
• Smoothed Parameter Estimation for a Hidden Markov Model of Credit Quality
• A hidden Markov model of credit quality
• Identification of hidden Markov chains governing dependent credit-rating migrations

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