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

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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)

Cites Work

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• New finite-dimensional filters and smoothers for noisily observed Markov chains
• Threshold models in non-linear time series analysis
• Analysis of default data using hidden Markov models
• Interactive hidden Markov models and their applications
• 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
• A dynamic binomial expansion technique for credit risk measurement: a Bayesian filtering approach

Cited In (7)

• Nonnegative matrix factorization for interactive hidden Markov models
• Analysis of default data using hidden Markov models
• RATING TRANSITIONS FORECASTING: A FILTERING APPROACH
• Modelling Portfolio Defaults Using Hidden Markov Models with Covariates
• Interactive hidden Markov models and their applications
• A Columnwise Update Algorithm for Sparse Stochastic Matrix Factorization
• Hidden Markov models with threshold effects and their applications to oil price forecasting

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