Modeling credit risk with hidden Markov default intensity
Feng-Hui Yu, Jiejun Lu, Jia-Wen Gu, Wai-Ki Ching
| Year of publication: |
2019
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|---|---|
| Authors: | Yu, Feng-Hui ; Lu, Jiejun ; Gu, Jia-Wen ; Ching, Wai Ki |
| Published in: |
Computational economics. - Dordrecht [u.a.] : Springer, ISSN 0927-7099, ZDB-ID 1142021-2. - Vol. 54.2019, 3, p. 1213-1229
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| Subject: | Credit default swap (CDS) | Credit risk | Expectation-maximization (EM) algorithm | Intensity models | Kreditrisiko | Kreditderivat | Credit derivative | Theorie | Theory | Markov-Kette | Markov chain | Insolvenz | Insolvency | Schätzung | Estimation | Kreditversicherung | Credit insurance |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10614-018-9869-7 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012134519