Numerical analysis of rating transition matrix depending on latent macro factor via nonlinear particle filter method
Hidetoshi Nakagawa and Hideyuki Takada
| Year of publication: |
2014
|
|---|---|
| Authors: | Nakagawa, Hidetoshi ; Takada, Hideyuki |
| Published in: |
Journal of financial engineering. - Hackensack, NJ : World Scientific, ISSN 2345-7686, ZDB-ID 2813048-0. - Vol. 1.2014, 3, p. 1-31
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| Subject: | Credit risk | credit rating transition | nonlinear filtering | branching particle filter | Kreditwürdigkeit | Credit rating | Kreditrisiko | Theorie | Theory | Nichtlineare Regression | Nonlinear regression | Markov-Kette | Markov chain | Zeitreihenanalyse | Time series analysis | Monte-Carlo-Simulation | Monte Carlo simulation | Zustandsraummodell | State space model |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010508007