Modeling Default Data Via an Interactive Hidden Markov Model
نویسندگان
چکیده
منابع مشابه
A Hidden Markov Model of Default Interaction
The occurrence of defaults within a bond portfolio is modeled as a simple hidden Markov process. The hidden variable represents the risk state, which is assumed to be common to all bonds within one particular sector and region. After describing the model and recalling the basic properties of hidden Markov chains, we show how to apply the model to a simulated sequence of default events. Finally,...
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ژورنال
عنوان ژورنال: Computational Economics
سال: 2009
ISSN: 0927-7099,1572-9974
DOI: 10.1007/s10614-009-9183-5