Quantile Forecasting for Credit Risk Management using possibly Mis-specified Hidden Markov Models
Year of publication: |
2007-06-13
|
---|---|
Authors: | Banachewicz, Konrad ; Lucas, André |
Institutions: | Tinbergen Institute |
Subject: | defaults | Markov switching | misspecification | quantile forecast | Expectation-Maximization | simulated maximum likelihood | importance sampling |
Extent: | application/pdf |
---|---|
Series: | |
Type of publication: | Book / Working Paper |
Notes: | The text is part of a series Tinbergen Institute Discussion Papers Number 07-046/2 |
Classification: | C53 - Forecasting and Other Model Applications ; C22 - Time-Series Models ; G32 - Financing Policy; Capital and Ownership Structure |
Source: |
-
Quantile forecasting for credit risk management using possibly mis-specified hidden Markov models
Banachewicz, Konrad, (2007)
-
Quantile Forecasting for Credit Risk Management using possibly Mis-specified Hidden Markov Models
Banachewicz, Konrad, (2007)
-
Quantile Forecasting for Credit Risk Management using possibly Mis-specified Hidden Markov Models
Banachewicz, Konrad, (2007)
- More ...
-
Modeling Portfolio Defaults using Hidden Markov Models with Covariates
Banachewicz, Konrad, (2006)
-
Quantile Forecasting for Credit Risk Management using possibly Mis-specified Hidden Markov Models
Banachewicz, Konrad, (2007)
-
Modeling Portfolio Defaults using Hidden Markov Models with Covariates
Banachewicz, Konrad, (2006)
- More ...