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Title:

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

Document type:
Zeitschriftenaufsatz
Author(s):
Hochreiter, R.; Wozabal, D.
Non-TUM Co-author(s):
ja
Cooperation:
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
Journal title:
Springer Lecture Notes in Computer Science, Applications of Evolutionary Computing, EvoWorkshops 2009
Journal listet in FT50 ranking:
nein
Year:
2009
Journal volume:
5488
Pages contribution:
193--202
Covered by:
Scopus; Web of Science
Language:
en
Fulltext / 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
Judgement review:
0
Key publication:
Nein
Peer reviewed:
Ja
International:
Ja
Book review:
Nein
Commissioned:
not commissioned
Professional Journal:
Nein
Interdisciplinarity:
Nein
Mission statement:
;
Ethics and Sustainability:
Nein
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