Quantile forecasting for credit risk management using possibly misspecified hidden Markov models
Konrad Banachewicz and André Lucas
| Year of publication: |
2008
|
|---|---|
| Authors: | Banachewicz, Konrad ; Lucas, André |
| Published in: |
Journal of forecasting. - Chichester : Wiley, ISSN 0277-6693, ZDB-ID 783432-9. - Vol. 27.2008, 7, p. 566-586
|
| Subject: | Kreditrisiko | Credit risk | Risikomanagement | Risk management | Markov-Kette | Markov chain | Modellierung | Scientific modelling | Maximum-Likelihood-Schätzung | Maximum likelihood estimation | Schätztheorie | Estimation theory |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10003779594