29 citations · 78 across the 21 of their papers we have counts for
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cs.NE2009★ 3 cited
Evolutionary estimation of a Coupled Markov Chain credit risk model
Ronald Hochreiter, David Wozabal
There exists a range of different models for estimating and simulating credit risk transitions to optimally manage credit risk portfolios and products. In this chapter we present a…
q-fin.RM2009★ 29 cited
A Coupled Markov Chain Approach to Credit Risk Modeling
David Wozabal, Ronald Hochreiter
We propose a Markov chain model for credit rating changes. We do not use any distributional assumptions on the asset values of the rated companies but directly model the rating tra…