Analysis of default data using hidden Markov models

DOI10.1080/14697680500039951zbMath1118.91321OpenAlexW2048451411MaRDI QIDQ5697333

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

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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Uses Software

• CreditRisk+

Cites Work

• Unnamed Item