@inbook{ddaf4d185ad7440982de1801d576d258,
title = "A HMM intensity-based credit risk model and filtering",
abstract = "In this article we discuss an intensity-based model for portfolio credit risk using a collection of hidden Markov-modulated single jump processes. The model can be viewed as a {"}dynamic{"} version of a frailty-based approach to describe the dependent default risk, where firms are exposed to a common hidden dynamic frailty factor described by a hidden Markov chain. Filtering equations and filter-based estimates of the model, in recursive forms, are developed. We also give the joint default probability of reference entities in a credit portfolio as well as the variance dynamics for both observations and hidden states.",
author = "Elliott, {Robert J.} and Siu, {Tak Kuen}",
year = "2013",
language = "English",
isbn = "9781461477891",
series = "Statistics and econometrics for finance",
publisher = "Springer, Springer Nature",
pages = "169--184",
editor = "Yong Zeng and Shu Wu",
booktitle = "State-space models",
address = "United States",
}