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Titel:

Evolutionary approaches for estimating a Coupled Markov Chain model for Credit Portfolio Risk Management

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
Hochreiter, R.; Wozabal, D.
Nicht-TUM Koautoren:
ja
Kooperation:
international
Abstract:
The analysis and valuation of structured credit products gained significant importance during the sub-prime mortgage crisis in 2007. Financial companies still hold many products for which the risk exposure is unknown. The Coupled Markov Chain approach can be used to model rating transitions and thereby default probabilities of companies. The likelihood of the model turns out to be a non-convex function of the parameters to be estimated. Therefore heuristics are applied to find the ML estimators....     »
Intellectual Contribution:
Discipline-based Research
Zeitschriftentitel:
Springer Lecture Notes in Computer Science, Applications of Evolutionary Computing, EvoWorkshops 2009
Journal gelistet in FT50 Ranking:
nein
Jahr:
2009
Band / Volume:
5488
Seitenangaben Beitrag:
193--202
Nachgewiesen in:
Scopus; Web of Science
Sprache:
en
Volltext / DOI:
doi:http://dx.doi.org/10.1007/978-3-642-01129-0_23
WWW:
http://dx.doi.org/10.1007/978-3-642-01129-0_23
Status:
Erstveröffentlichung
Urteilsbesprechung:
0
Key publication:
Nein
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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