Modeling default data via an interactive hidden Markov model

DOI10.1007/S10614-009-9183-5zbMATH Open1195.91176OpenAlexW2067275643MaRDI QIDQ846148FDOQ846148

Authors Wai-Ki Ching, Tak Kuen Siu, Li-Min Li, Tang Li, Wai Keung Li

Publication date 1 February 2010

Published in Computational Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10614-009-9183-5

zbMATH Keywords

hidden Markov model (HMM)feedback effectbinomial expansion techniquedefault datainteractive hidden Markov model (IHMM)

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Statistical methods; risk measures (91G70) Credit risk (91G40)

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Cites work

• scientific article; zbMATH DE number 48093 (Why is no real title available?)
• scientific article; zbMATH DE number 722978 (Why is no real title available?)
• scientific article; zbMATH DE number 846906 (Why is no real title available?)
• A dynamic binomial expansion technique for credit risk measurement: a Bayesian filtering approach
• Analysis of default data using hidden Markov models
• Extracting information from spot interest rates and credit ratings using double higher-order hidden Markov models
• Hidden Markov models and their applications to customer relationship management
• Interactive hidden Markov models and their applications
• New finite-dimensional filters and smoothers for noisily observed Markov chains
• Threshold models in non-linear time series analysis

Cited in

(9)

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• Modelling Portfolio Defaults Using Hidden Markov Models with Covariates
• A Columnwise Update Algorithm for Sparse Stochastic Matrix Factorization
• Interacting default intensity with a hidden Markov process
• Nonnegative matrix factorization for interactive hidden Markov models
• Interactive hidden Markov models and their applications
• RATING TRANSITIONS FORECASTING: A FILTERING APPROACH
• A higher-order interactive hidden Markov model and its applications

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