A coupled Markov chain approach to credit risk modeling

We propose a Markov chain model for credit rating changes. We do not use any distributional assumptions on the asset values of the rated companies but directly model the rating transitions process. The parameters of the model are estimated by a maximum likelihood approach using historical rating transitions and heuristic global optimization techniques.

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Year of publication:	2012
Authors:	Wozabal, David ; Hochreiter, Ronald
Published in:	Journal of Economic Dynamics and Control. - Elsevier, ISSN 0165-1889. - Vol. 36.2012, 3, p. 403-415
Publisher:	Elsevier
Subject:	Credit risk \| Markov models \| Ratings \| Conditional value-at-risk \| Bond portfolios

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Type of publication:	Article
Classification:	G11 - Portfolio Choice ; G01 - Financial Crises ; C44 - Statistical Decision Theory; Operations Research ; C14 - Semiparametric and Nonparametric Methods ; D81 - Criteria for Decision-Making under Risk and Uncertainty
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010573984