A dynamic binomial expansion technique for credit risk measurement: a Bayesian filtering approach

DOI10.1080/13504860410001682669MaRDI QIDQ4673736zbMATH OpenOpenAlexFDO

Authors Wing Hoe Woo, Tak Kuen Siu

Publication date 9 May 2005

Published in Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/13504860410001682669

zbMATH Keywords

value at risk (VaR)default probabilitiescredit risk measurementBayesian filtering methodbinomial expansion technique (BET)

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

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Cited in

(2)

• Modeling default data via an interactive hidden Markov model
• On a multivariate Markov chain model for credit risk measurement

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