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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(14)

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

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Uses Software

• CreditRisk+

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