Evolutionary estimation of a Coupled Markov Chain credit risk model
Ronald HochreiterDavid WozabalPublished in: CoRR (2009)
Keyphrases
- markov chain
- monte carlo simulation
- markov model
- markov process
- transition probabilities
- parameter estimation
- statistical model
- monte carlo method
- probability distribution
- random walk
- transition matrix
- monte carlo
- stationary distribution
- steady state
- credit risk
- evaluation method
- neural network
- decision making
- genetic algorithm