Modeling dependent credit rating transitions: a comparison of coupling schemes and empirical evidence

DOI10.1007/s10100-015-0415-6zbMath1358.90169OpenAlexW1772441702WikidataQ59254850 ScholiaQ59254850MaRDI QIDQ519025

D. V. Boreiko, Yuri M. Kaniovski, Georg Ch. Pflug

Publication date: 4 April 2017

Published in: CEJOR. Central European Journal of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10100-015-0415-6

zbMATH Keywords

correlationmaximum likelihoodhidden variablecommon componentcoupled Markov chainidiosyncratic component

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Nonlinear programming (90C30) Financial applications of other theories (91G80) Credit risk (91G40)

Related Items (4)

Markov chain model with catastrophe to determine mean time to default of credit risky assets ⋮ Numerical estimates of risk factors contingent on credit ratings ⋮ Exploring the dynamics of business survey data using Markov models ⋮ Identification of hidden Markov chains governing dependent credit-rating migrations

Uses Software

• Matlab

Cites Work

• A coupled Markov chain approach to credit risk modeling
• Identifiability of parameters in latent structure models with many observed variables
• A hidden Markov model of credit quality
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