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