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

DOI10.1080/13504860410001682669zbMATH Open1106.91053OpenAlexW2004840606MaRDI QIDQ4673736FDOQ4673736

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

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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)

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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