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Titel:

A Coupled Markov Chain Approach to Credit Risk Modeling

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
Wozabal, D.; Hochreiter, R.
Nicht-TUM Koautoren:
ja
Kooperation:
international
Abstract:
We propose a Markov chain model for credit rating changes. We do not use any distributional assumptions on the asset values of the rated companies but directly model the rating transitions process. The parameters of the model are estimated by a maximum likelihood approach using historical rating transitions and heuristic global optimization techniques. We benchmark the model against a GLMM model in the context of bond portfolio risk management. The proposed model yields stronger dependencies...     »
Stichworte:
Credit risk; Markov models; Ratings; Conditional value-at-risk; Bond portfolios
Intellectual Contribution:
Discipline-based Research
Zeitschriftentitel:
Journal of Economic Dynamics and Control
Journal gelistet in FT50 Ranking:
nein
Jahr:
2012
Band / Volume:
36
Heft / Issue:
3
Seitenangaben Beitrag:
403-415
Sprache:
en
Volltext / DOI:
doi:http://dx.doi.org/10.1016/j.jedc.2011.09.011
WWW:
http://dx.doi.org/10.1016/j.jedc.2011.09.011
Status:
Erstveröffentlichung
Urteilsbesprechung:
0
Key publication:
Ja
Peer reviewed:
Ja
International:
Ja
Book review:
Nein
commissioned:
not commissioned
Professional Journal:
Nein
Interdisziplinarität:
Nein
Leitbild:
;
Ethics und Sustainability:
Nein
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