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Risk-sensitive and risk-neutral control for continuous-time hidden Markov models

✍ Scribed by M. R. James; R. J. Elliott


Publisher
Springer
Year
1996
Tongue
English
Weight
537 KB
Volume
34
Category
Article
ISSN
0095-4616

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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