Rating transitions forecasting : a filtering approach
Year of publication: |
2023
|
---|---|
Authors: | Cousin, Areski ; Lelong, Jérǒme ; Picard, Tom |
Published in: |
International journal of theoretical and applied finance : IJTAF. - Singapore : World Scientific, ZDB-ID 2027376-9. - Vol. 26.2023, 2/3, Art.-No. 2350009, p. 1-53
|
Subject: | economic cycle | EM algorithms | filtering | Markov chain | Rating transitions | Markov-Kette | Konjunktur | Business cycle | Prognoseverfahren | Forecasting model | Theorie | Theory | Zeitreihenanalyse | Time series analysis | Kreditwürdigkeit | Credit rating | Kreditrisiko | Credit risk | Systemtransformation | Economic transition | Zustandsraummodell | State space model | Algorithmus | Algorithm |
-
Nakagawa, Hidetoshi, (2014)
-
State space models with endogenous regime switching
Chang, Yoosoon, (2018)
-
Wavelets analysis on structural model for default prediction
Han, Lu, (2017)
- More ...
-
Commentaire sur l'article "la mesure du risque systémique après la crise financière"
Cousin, Areski, (2015)
-
Multiple time series forecasting using quasi-randomized functional link neural networks
Moudiki, Thierry, (2018)
-
Optimal asset allocation subject to withdrawal risk and solvency constraints
Cousin, Areski, (2022)
- More ...