A Double HMM approach to Altman Z-scores and credit ratings

Expert Systems with Applications

Volumn 41, Issue 4 PART 2, 2014, Pages 1553-1560

  Elliott, Robert J ^a,b,c   Siu, Tak Kuen ^d,e   Fung, Eric S ^f  

^a UNIVERSITY OF ADELAIDE   (Australia)

^b UNIVERSITY OF CALGARY   (Canada)

^c UNIVERSITY OF SOUTH AUSTRALIA   (Australia)

^d CITY UNIVERSITY   (United Kingdom)

^e MACQUARIE UNIVERSITY   (Australia)

^f HONG KONG BAPTIST UNIVERSITY   (Hong Kong)

Author keywords

Altman Z scores; Credit ratings; Double hidden Markov models; EM algorithm; Filters

Indexed keywords

ACCOUNTING RATIOS; CREDIT RATINGS; EM ALGORITHMS; EXTRACT INFORMATIONS; OPTIMAL ESTIMATES; SELF-CALIBRATING; SOURCES OF INFORMATIONS; Z-SCORES;

ALGORITHMS; FILTERS (FOR FLUIDS); HIDDEN MARKOV MODELS; INDUSTRY;

RATING;

EID: 84888375806     PISSN: 09574174     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.eswa.2013.08.052     Document Type: Article

References (8)

1. E.I. Altman Financial ratios: Discriminant analysis, and the prediction of corporate bankruptcy Journal of Finance 23 1968 589 609
2. E.I. Altman, and D.L. Kao The implications of corporate bond rating drift Financial Analysts Journal 48 3 1992 64 75
3. Basel Committee on Banking Supervision. Credit ratings and complementary sources of credit quality information. BCBS Working Paper No. 3, August 2000. .
4. Basel Committee on Banking Supervision. International convergence of capital measurement and capital standards: A revised framework. 2005. .
5. M. Crouhy, D. Galai, and R. Mark Risk management 2001 McGraw-Hill New York
6. Deianedis, G., & Geske, R. (2003). Credit risk and risk neutral default probabilities: Information about rating migrations and defaults, EFA 2003 Annual Conference Paper No. 962.
7. R.J. Elliott, L. Aggoun, and J.B. Moore Hidden Markov models: Estimation and control 1994 Springer New York
8. M.W. Korolkiewicz, and R.J. Elliott A hidden Markov model of credit quality Journal of Economic Dynamics and Control 32 12 2008 3807 3819