Analysis of default data using hidden Markov models

DOI10.1080/14697680500039951MaRDI QIDQ5697333zbMATH OpenOpenAlexFDO

Authors G. Giampieri, Mark H. A. Davis, Martin Crowder

Publication date 17 October 2005

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697680500039951

Mathematics Subject Classification ID

Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20)

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Cited in

(14)

• Bank-sourced credit transition matrices: estimation and characteristics
• Markov-modulated Ornstein-Uhlenbeck processes
• Identifying future defaulters: a hierarchical Bayesian method
• Markov model of risky bond temporal structure
• Modelling Portfolio Defaults Using Hidden Markov Models with Covariates
• A decision-theoretic approach for segmental classification
• Interacting default intensity with a hidden Markov process
• A hidden absorbing semi-Markov model for informatively censored temporal data: learning and inference
• DIFFUSION LIMITS FOR A MARKOV MODULATED BINOMIAL COUNTING PROCESS
• Large portfolio credit risk modeling
• RATING TRANSITIONS FORECASTING: A FILTERING APPROACH
• Hidden Markov representation of microcredit
• Modeling default data via an interactive hidden Markov model
• Efficient Bayesian estimation of the multivariate double chain Markov model

Describes a project that uses

Uses Software

• CreditRisk+

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