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Credit risk optimization using factor models

✍ Scribed by David Saunders; Costas Xiouros; Stavros A. Zenios


Publisher
Springer US
Year
2006
Tongue
English
Weight
653 KB
Volume
152
Category
Article
ISSN
0254-5330

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## 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