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

DOI10.1080/13504860410001682669zbMath1106.91053OpenAlexW2004840606MaRDI QIDQ4673736

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)

Related Items (2)

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

This page was built for publication: A dynamic binomial expansion technique for credit risk measurement: a Bayesian filtering approach