A Coupled Markov Chain Approach to Credit Risk Modeling
Download full text from publisher
Other versions of this item:
- Wozabal, David & Hochreiter, Ronald, 2012. "A coupled Markov chain approach to credit risk modeling," Journal of Economic Dynamics and Control, Elsevier, vol. 36(3), pages 403-415.
References listed on IDEAS
- Gordy, Michael B., 2000. "A comparative anatomy of credit risk models," Journal of Banking & Finance, Elsevier, vol. 24(1-2), pages 119-149, January.
- McNeil, Alexander J. & Wendin, Jonathan P., 2007. "Bayesian inference for generalized linear mixed models of portfolio credit risk," Journal of Empirical Finance, Elsevier, vol. 14(2), pages 131-149, March.
- Giesecke, Kay & Weber, Stefan, 2006. "Credit contagion and aggregate losses," Journal of Economic Dynamics and Control, Elsevier, vol. 30(5), pages 741-767, May.
- Frydman, Halina & Schuermann, Til, 2008. "Credit rating dynamics and Markov mixture models," Journal of Banking & Finance, Elsevier, vol. 32(6), pages 1062-1075, June.
- Nickell, Pamela & Perraudin, William & Varotto, Simone, 2000. "Stability of rating transitions," Journal of Banking & Finance, Elsevier, vol. 24(1-2), pages 203-227, January.
- Huang, Shirley J. & Yu, Jun, 2010.
"Bayesian analysis of structural credit risk models with microstructure noises,"
Journal of Economic Dynamics and Control,
Elsevier, vol. 34(11), pages 2259-2272, November.
- Shirley J. Huang & Jun Yu, 2009. "Bayesian Analysis of Structural Credit Risk Models with Microstructure Noises," Finance Working Papers 23054, East Asian Bureau of Economic Research.
- Altman, Edward I., 1998. "The importance and subtlety of credit rating migration," Journal of Banking & Finance, Elsevier, vol. 22(10-11), pages 1231-1247, October.
- Masaaki Kijima, 1998. "Monotonicities in a Markov Chain Model for Valuing Corporate Bonds Subject to Credit Risk," Mathematical Finance, Wiley Blackwell, vol. 8(3), pages 229-247.
- Renault, Olivier & Scaillet, Olivier, 2004.
"On the way to recovery: A nonparametric bias free estimation of recovery rate densities,"
Journal of Banking & Finance,
Elsevier, vol. 28(12), pages 2915-2931, December.
- Olivier RENAULT & Olivier SCAILLET, 2003. "On the Way to Recovery: A Nonparametric Bias Free Estimation of Recovery Rate Densities," FAME Research Paper Series rp83, International Center for Financial Asset Management and Engineering.
- Crouhy, Michel & Galai, Dan & Mark, Robert, 2000. "A comparative analysis of current credit risk models," Journal of Banking & Finance, Elsevier, vol. 24(1-2), pages 59-117, January.
- Lando, David & Skodeberg, Torben M., 2002. "Analyzing rating transitions and rating drift with continuous observations," Journal of Banking & Finance, Elsevier, vol. 26(2-3), pages 423-444, March.
- Kiefer, Nicholas M. & Larson, C. Erik, 2007.
"A simulation estimator for testing the time homogeneity of credit rating transitions,"
Journal of Empirical Finance,
Elsevier, vol. 14(5), pages 818-835, December.
- Kiefer, Nicholas M. & Larson, C. Erik, 2006. "A Simulation Estimator for Testing the Time Homogeneity of Credit Rating Transition," Working Papers 06-10, Cornell University, Center for Analytic Economics.
- Korolkiewicz, Malgorzata W. & Elliott, Robert J., 2008. "A hidden Markov model of credit quality," Journal of Economic Dynamics and Control, Elsevier, vol. 32(12), pages 3807-3819, December.
- Stefanescu, Catalina & Tunaru, Radu & Turnbull, Stuart, 2009. "The credit rating process and estimation of transition probabilities: A Bayesian approach," Journal of Empirical Finance, Elsevier, vol. 16(2), pages 216-234, March.
- Kaniovski, Y.M. & Pflug, G.Ch., 2007. "Risk assessment for credit portfolios: A coupled Markov chain model," Journal of Banking & Finance, Elsevier, vol. 31(8), pages 2303-2323, August.
- Robert A. Jarrow & David Lando & Stuart M. Turnbull, 2008.
"A Markov Model for the Term Structure of Credit Risk Spreads,"
World Scientific Book Chapters,in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 18, pages 411-453
World Scientific Publishing Co. Pte. Ltd..
- Jarrow, Robert A & Lando, David & Turnbull, Stuart M, 1997. "A Markov Model for the Term Structure of Credit Risk Spreads," Review of Financial Studies, Society for Financial Studies, vol. 10(2), pages 481-523.
- Stefan Weber & Kay Giesecke, 2003. "Credit Contagion and Aggregate Losses," Computing in Economics and Finance 2003 246, Society for Computational Economics.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- D. V. Boreiko & Y. M. Kaniovski & G. Ch. Pflug, 2017. "Numerical Modeling of Dependent Credit Rating Transitions with Asynchronously Moving Industries," Computational Economics, Springer;Society for Computational Economics, vol. 49(3), pages 499-516, March.
- D. V. Boreiko & Y. M. Kaniovski & G. Ch. Pflug, 2016. "Modeling dependent credit rating transitions: a comparison of coupling schemes and empirical evidence," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 24(4), pages 989-1007, December.
More about this item
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G01 - Financial Economics - - General - - - Financial Crises
- C44 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Operations Research; Statistical Decision Theory
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
NEP fieldsThis paper has been announced in the following NEP Reports:
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:arx:papers:0911.3802. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (arXiv administrators). General contact details of provider: http://arxiv.org/ .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.