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Quantile estimation under possibly misspecified generalised linear model

✍ Scribed by M. Séménou


Book ID
103593644
Publisher
Elsevier Science
Year
1996
Tongue
English
Weight
418 KB
Volume
27
Category
Article
ISSN
0167-7152

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Quantile forecasting for credit risk man
✍ Konrad Banachewicz; André Lucas 📂 Article 📅 2008 🏛 John Wiley and Sons 🌐 English ⚖ 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