Homogeneous semi-Markov reliability models for credit risk management*
✍ Scribed by D’Amico, Guglielmo ;Janssen, Jacques ;Manca, Raimondo
- Publisher
- Springer
- Year
- 2006
- Weight
- 151 KB
- Volume
- 28
- Category
- Article
- ISSN
- 1127-1035
No coin nor oath required. For personal study only.
📜 SIMILAR VOLUMES
## 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
## Abstract In banking, the default behaviour of the counterpart is not only of interest for the pricing of transactions under credit risk but also for the assessment of a portfolio credit risk. We develop a test against the hypothesis that default intensities are chronologically constant within a