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Document type:
Zeitschriftenaufsatz 
Author(s):
Hochreiter, R.; Wozabal, D. 
Non-TUM Co-author(s):
ja 
Cooperation:
international 
Title:
Evolutionary approaches for estimating a Coupled Markov Chain model for Credit Portfolio Risk Management 
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 
Status:
Erstveröffentlichung 
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