Analysis of default data using hidden Markov models
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Publication:5697333
DOI10.1080/14697680500039951zbMATH Open1118.91321OpenAlexW2048451411MaRDI QIDQ5697333FDOQ5697333
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
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Cites Work
Cited In (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
- Large portfolio credit risk modeling
- Bank-sourced credit transition matrices: estimation and characteristics
- A decision-theoretic approach for segmental classification
- RATING TRANSITIONS FORECASTING: A FILTERING APPROACH
- Markov model of risky bond temporal structure
- Efficient Bayesian estimation of the multivariate double chain Markov model
- 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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