Creditworthiness dynamics and Hidden Markov Models

被引：8

作者：

Quirini, L. ^{[1
]}

Vannucci, L. ^{[2
]}

机构：

[1] Consum it, Monte Paschi Siena Grp, Calenzano, Italy

[2] Univ Florence, Florence, Italy

来源：

JOURNAL OF THE OPERATIONAL RESEARCH SOCIETY | 2014年 / 65卷 / 03期

关键词：

creditworthiness; Hidden Markov Models; simulation; statistical inference;

D O I：

10.1057/jors.2012.181

中图分类号：

C93 [管理学];

学科分类号：

12 ; 1201 ; 1202 ; 120202 ;

摘要：

A 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.

引用

页码：323 / 330

页数：8

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