Hidden Markov Models and Credit Quality
(M Korolkiewicz and R Elliott)
Publications
MW Korolkiewicz, RJ Elliott, A hidden Markov model of credit quality, Journal of Economic Dynamics and Control, Volume 32, Issue 12, Pages 3807-3819, 2008
MW Korolkiewicz and RJ Elliott, Smoothed parameter estimation for a hidden Markov Model of credit quality, in Hidden Markov Models in Finance / Rogemar S. Mamon and Robert J. Elliott (eds.), Ch.5 pp.69-90, International Series in Operations Research & Management Science: 104, Springer, 2007
MW Korolkiewicz, Applications of Hidden Markov Chains to Credit Risk Modelling, PhD. Thesis, University of Alberta, 2004.