Quantile forecasting for credit risk man
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Konrad Banachewicz; AndrΓ© Lucas
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Article
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2008
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John Wiley and Sons
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English
β 288 KB
## Abstract Recent models for credit risk management make use of hidden Markov models (HMMs). HMMs are used to forecast quantiles of corporate default rates. Little research has been done on the quality of such forecasts if the underlying HMM is potentially misspecified. In this paper, we focus on