Advanced search
Publication Cover
Communications in Statistics - Theory and Methods Volume 48, 2019 - Issue 1: 4th Stochastic Modeling Techniques and Data Analysis International Conference
Submit an article Journal homepage
90
Views
3
CrossRef citations to date
0
Altmetric
Original Articles

Identification of hidden Markov chains governing dependent credit-rating migrations

D. V. BoreikoFaculty of Economics and Management, Free University of Bozen-Bolzano, Piazza Università, Bolzano, ItalyCorrespondence[email protected]
,
S. Y. KaniovskiMacroeconomics and European Economic Policy Research Group, Austrian Institute for Economic Research (WIFO), Vienna, Austria
,
Y. M. KaniovskiFaculty of Economics and Management, Free University of Bozen-Bolzano, Piazza Università, Bolzano, Italy
&
G. Ch. PflugDepartment of Statistics and Decision Support Systems, University of Vienna, Universitätstraße, Vienna, Austria
Pages 75-87 | Received 17 May 2017, Accepted 12 Jun 2017, Published online: 11 Oct 2017

References

  • Allman, E. L., C. Matias, and J. A. Rhodes. 2009. Identifiability of parameters in latent structure with many observed variables. Annals of Statistics 37:3099–132.
  • Bangia, A., F. X. Diebold, A. Kronimus, C. Schagen, and T. Schuermann. 2002. Ratings migration and the business cycle, with applications to credit portfolio stress testing. Journal of Banking and Finance 26:445–74.
  • Boreiko, D. V., Y. M. Kaniovski, and G. Ch. Pflug. 2016. Modeling dependent credit rating transitions: A comparison of coupling schemes and empirical evidence. Central European Journal of Operations Research 24:989–1007.
  • Carreira-Perpiñán, M., and S. Renals. 2000. Practical identifiability of finite mixtures of multivariate Bernoulli distributions. Neural Computation 12:141–52.
  • Fei, F., A.-M. Fuertes, and E. Kalotychou. 2012. Credit rating migration risk and business cycles. Journal of Business Finance and Accounting 39:229–63.
  • Frydman, H., and T. Schuermann. 2008. Credit rating dynamics and Markov mixture models. Journal of Banking and Finance 32:1062–75.
  • Gupton, G. M., Ch. C. Finger, and M. Bhatia. 1997. CreditMetrics – Technical document. New York: J.P. Morgan Inc.
  • Kaniovski, Y. M., and G. Ch. Pflug. 2007. Risk assessment for credit portfolios: A coupled Markov chain model. Journal of Banking and Finance 31:2303–23.
  • Korolkiewicz, M., and R. Elliott. 2008. A hidden Markov model of credit quality. Journal of Economic Dynamics and Control 32:3807–19.
  • McNeil, A., and J. Wendin. 2007. Bayesian inference for generalized linear mixed models of portfolio credit risk. Journal of Empirical Finance 14:131–49.
  • Perilioglu, A., and S. Tuysuz. 2015. Conditional sovereign transition probability matrices. Procedia Economics and Finance 30:643–55.
  • Wozabal, D., and R. Hochreiter. 2012. A coupled Markov chain approach to credit risk modeling. Journal of Economic Dynamics and Control 36:403–15.
  • Wei, J. Z. 2003. A multi-factor, credit migration model for sovereign and corporate debts. Journal of International Money and Finance 22:709–35.
  • Xing, H., N. Sun, and Y. Chen. 2012. Credit rating dynamics in the presence of unknown structural breaks. Journal of Banking and Finance 36:78–89.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Order Reprints Request Corporate Permissions

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

Request Academic Permissions

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.

Related research

People also read lists articles that other readers of this article have read.

Recommended articles lists articles that we recommend and is powered by our AI driven recommendation engine.

Cited by lists all citing articles based on Crossref citations.
Articles with the Crossref icon will open in a new tab.