Add to ORKGA dynamic monitoring of credit risky portfolios is described. In the first section, it is shown how a Markov dependence can be used in modelling the borrower’s behaviour: a chain of transition probabilities matrices is built in which the states of the dynamic stochastic system are the number of instalments in arrears. In the second part, such a model is generalized in the framework of the Hidden Markov Models to explain how the credit market conditions could affect the borrower’s payment process. Numerical examples complete the note
Hidden Markov Models, usually referred to as HMMs, are one of the most successful concepts in statis...
A stochastic model with hidden discrete Markov processes is constructed to understand the behavior o...
In this paper, we use credibility theory to estimate credit transition matrices in a multivariate Ma...
In this article we discuss an intensity-based model for portfolio credit risk using a collection of ...
Markov chains have been widely used to the credit risk measurement in the last years. Using these ch...
This paper presents a hidden Markov model of credit quality dynamics, and highlights the use of filt...
It is well known that credit rating transitions exhibit a serial correlation also known as a rating ...
We consider the forecasting problem for components of a bank's credit portfolio, in particular, for ...
Part 3: Stochastic Optimization and ControlInternational audienceA change of shares of credits portf...
With the use of the Markov chain framework this work investigates the dynamics between the scores ge...
Hidden Markov Models, usually referred to as HMMs, are one of the most successful concepts in statis...
Credit risk management has become the key instrument for better portfolio diversification and relate...
This paper studies the problem of diusion in Markovian models, such as hidden Markov models (HMMs) a...
This paper derives a Markov decision process model for the profitability of credit cards, which allo...
Default risk in commercial lending is one of the major concerns of the creditors. In this article, w...
Hidden Markov Models, usually referred to as HMMs, are one of the most successful concepts in statis...
A stochastic model with hidden discrete Markov processes is constructed to understand the behavior o...
In this paper, we use credibility theory to estimate credit transition matrices in a multivariate Ma...
In this article we discuss an intensity-based model for portfolio credit risk using a collection of ...
Markov chains have been widely used to the credit risk measurement in the last years. Using these ch...
This paper presents a hidden Markov model of credit quality dynamics, and highlights the use of filt...
It is well known that credit rating transitions exhibit a serial correlation also known as a rating ...
We consider the forecasting problem for components of a bank's credit portfolio, in particular, for ...
Part 3: Stochastic Optimization and ControlInternational audienceA change of shares of credits portf...
With the use of the Markov chain framework this work investigates the dynamics between the scores ge...
Hidden Markov Models, usually referred to as HMMs, are one of the most successful concepts in statis...
Credit risk management has become the key instrument for better portfolio diversification and relate...
This paper studies the problem of diusion in Markovian models, such as hidden Markov models (HMMs) a...
This paper derives a Markov decision process model for the profitability of credit cards, which allo...
Default risk in commercial lending is one of the major concerns of the creditors. In this article, w...
Hidden Markov Models, usually referred to as HMMs, are one of the most successful concepts in statis...
A stochastic model with hidden discrete Markov processes is constructed to understand the behavior o...
In this paper, we use credibility theory to estimate credit transition matrices in a multivariate Ma...