Probabilistic prediction of credit ratings: a filtering approach

DOI10.1080/17442508.2017.1367793zbMath1496.91097OpenAlexW2750770269MaRDI QIDQ5085846

Paola Tardelli

Publication date: 30 June 2022

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508.2017.1367793

zbMATH Keywords

defaultfilteringexchangeabilityheterogeneous populations

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Credit risk (91G40)

Cites Work

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• Occupancy numbers for dynamic heterogeneous populations: Estimate of particles lifetimes
• Point processes and queues. Martingale dynamics
• Exchangeable mixture models for lifetimes: the role of ``occupation numbers.
• Controlled Heterogeneous Collection: The Role of Occupation Numbers
• Filtering equations for the conditional law of residual lifetimes from a heterogeneous population
• Heterogeneous population dynamical model: a filtering problem

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