A structural hidden Markov model for forecasting scenario probabilities for portfolio loan loss provisions
Year of publication: |
[2022]
|
---|---|
Authors: | Blümke, Oliver |
Publisher: |
[S.l.] : SSRN |
Subject: | Prognoseverfahren | Forecasting model | Markov-Kette | Markov chain | Portfolio-Management | Portfolio selection | Kreditrisiko | Credit risk | Theorie | Theory |
Description of contents: | Abstract [papers.ssrn.com] |
Extent: | 1 Online-Ressource |
---|---|
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | In: Knowledge-Based Systems 249 (2022) 108934 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments December 31, 2021 erstellt Volltext nicht verfügbar |
Classification: | G28 - Government Policy and Regulation |
Source: | ECONIS - Online Catalogue of the ZBW |
-
Credit Portfolio Loss Forecasts for Economic Downturns
Roesch, Daniel, (2013)
-
A Framework for Assessing the Systemic Risk of Major Financial Institutions
Huang, Xin, (2016)
-
Dependence in Credit Default Swap and Equity Markets : Dynamic Copula with Markov-Switching
Fei, Fei, (2017)
- More ...
-
Multiperiod default probability forecasting
Blümke, Oliver, (2021)
-
Probability of default estimation and validation within context of the credit cycle
Blümke, Oliver, (2010)
-
Blümke, Oliver, (2012)
- More ...