• Graduate Programs
    • Tinbergen Institute Research Master in Economics
      • Why Tinbergen Institute?
      • Research Master
      • Admissions
      • Course Registration
      • PhD Vacancies
      • Selected PhD Placements
    • Facilities
    • Browse our Courses
    • Research Master Business Data Science
    • PhD Vacancies
  • Research
  • Browse our Courses
  • Events
    • Summer School
      • Applied Public Policy Evaluation
      • Deep Learning
      • Economics of Blockchain and Digital Currencies
      • Economics of Climate Change
      • Foundations of Machine Learning with Applications in Python
      • From Preference to Choice: The Economic Theory of Decision-Making
      • Gender in Society
      • Machine Learning for Business
      • Marketing Research with Purpose
      • Sustainable Finance
      • Tuition Fees and Payment
      • Business Data Science Summer School Program
    • Events Calendar
    • Events Archive
    • Tinbergen Institute Lectures
    • 16th Tinbergen Institute Annual Conference
    • Annual Tinbergen Institute Conference
  • News
  • Job Market Candidates
  • Alumni
    • PhD Theses
    • Master Theses
    • Selected PhD Placements
    • Key alumni publications
    • Alumni Community

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
Download here