Using a multivariate Markov chain model for estimating credit risk : evidence from Taiwan

Su-Lien Lu

Dependence on credit ratings is an important issue for managing credit risk. This paper assesses credit risk using a multivariate Markov chain model that calculates dependence on credit ratings. We demonstrate the practical implementation of the proposed model using the rating data of 15 industries in Taiwan. Finally, our model is able to consider dependence structure to estimate credit risk. -- credit risk ; Basel capital accord ; multivariate Markov chain model ; credit value-at-risk

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Year of publication:	2012
Authors:	Lu, Su-lien
Published in:	Advances in management & applied economics. - Christchurch, New Zealand : Scientific Press International Limited, ISSN 1792-7552, ZDB-ID 2614240-5. - Vol. 2.2012, 4, p. 243-251
Subject:	Taiwan \| Kreditrisiko \| Credit risk \| Markov-Kette \| Markov chain \| Schätzung \| Estimation \| Kreditwürdigkeit \| Credit rating

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Extent:	graph. Darst.
Type of publication:	Article
Type of publication (narrower categories):	Aufsatz in Zeitschrift ; Article in journal
Language:	English
Notes:	Systemvoraussetzungen: Acrobat Reader
Classification:	G21 - Banks; Other Depository Institutions; Mortgages ; G10 - General Financial Markets. General
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10009718621