Markov chain models for delinquency: Transition matrix estimation and forecasting

Applied Stochastic Models in Business and Industry

Volumn 27, Issue 3, 2011, Pages 267-279

  Grimshaw, Scott D ^a   Alexander, William P ^b  

^a BRIGHAM YOUNG UNIVERSITY   (United States)

^b Confluence Analytics ^*  (United States)

Author keywords

delinquency movement matrix; Dirichlet multinomial posterior; empirical Bayes; loss forecasts; portfolio valuation; roll rates

Indexed keywords

DIRICHLET-MULTINOMIAL POSTERIOR; EMPIRICAL BAYES; MATRIX; PORTFOLIO VALUATION; ROLL RATES;

ESTIMATION; FORECASTING;

MARKOV PROCESSES;

EID: 79959920489     PISSN: 15241904     EISSN: 15264025     Source Type: Journal    
DOI: 10.1002/asmb.827     Document Type: Article

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