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07-046/2 - Quantile Forecasting for Credit Risk Management using possibly Mis-specified Hidden Markov Models

  • Authors
    Konrad Banachewicz, Vrije Universiteit Amsterdam; André Lucas, Vrije Universiteit Amsterdam
  • Publication date
    June 13, 2007
  • Keywords
    defaults; Markov switching; misspecification; quantile forecast; Expectation-Maximization; simulated maximum likelihood; importance sampling
  • JEL
    C53; C22,G32
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