A Hidden Markov Chain Model with Applications for Assessing Credit Risk__臺灣人文及社會科學引文索引資料庫

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題名：	A Hidden Markov Chain Model with Applications for Assessing Credit Risk
書刊名：	Asia Pacific Management Review
作者：	Lu, Su-lien
出版日期：	2014
卷期：	19:4
頁次：	頁405-427
主題關鍵詞：	Credit risk；Basel capital accord；Interactive hidden Markov model
原始連結：	連回原系統網址
相關次數：	被引用次數:期刊(0) 博士論文(0) 專書(0) 專書論文(0) 排除自我引用:0 共同引用:2 點閱:126

We propose an interactive hidden Markov chain model for assessing credit risk. Two types of states exist in a hidden Markov chain model: hidden states and observable states. Hidden states can be used to incorporate the risk associated with the economic state. Our model incorporates the interactive effect of observable states and hidden states, which is more realistic and not included in traditional hidden Markov models. We also transform the proposed model into a risk-neutral interactive hidden Markov model using a time-varying risk premium. Finally, the 3 simulated results indicate that for investment grade probability, facing a normal risk state next year is higher than that of speculative grades. However, medium-risk grade probability cannot be determined because of the uncertainty of the 3 simulations. Thus, banking must focus on borrowers' rating classes when making a lending decision.

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期刊論文
1.	Ching, W.、Ng, M.、Wong, K.(2004)。Hidden Markov model and its applications in customer relationship management。IMA Journal of Management Mathematics，15(1)，13-24。
2.	Bangia, A.、Diebold, F. X.、Kronimus, A.、Schagen, C.、Schuermann, T.(2002)。Rating migration and the business cycle, with application to credit portfolio stress testing。Journal of Banking and Finance，26(2)，445-474。
3.	Ching, W. K.、Siu, T.、Li, L.、Li, W. K.(2009)。Modeling default data via an interactive hidden Markov chain model。Compute Economics，34(1)，1-19。
4.	Ching, W. K.、Fung, E.、Ng, M.、Siu, T.、Li, W.(2007)。Interactive hidden Markov models and their applications。IMA Journal of Management Mathematics，18(1)，85-97。
5.	Duffie, D.、Schroder, M.、Skiadas, C.(1996)。Recursive valuation of defaultable securities and the timing of the resolution of uncertainty。Annals of Applied Probability，6(4)，1075-1090。
6.	Giampieri, G.、Davis, M.、Crowder, M.(2005)。Analysis of default data using hidden Markov models。Quantitative Finance，5(1)，27-34。
7.	Hu, Y. T.、Kiesel, R.、Perraudin, W.(2002)。The estimation of transition matrices for sovereign credit ratings。Journal of Banking and Finance，26(7)，1383-1406。
8.	Lu, S. L.(2009)。Comparing the reliability of a discrete-time and a continuous-time Markov chain model in determining credit risk。Applied Economics Letters，16，1143-1148。
9.	Altman, E.、Resti, Andrea、Sironi, Andrea(2004)。Default recovery rates in credit risk modelling: A review of the literature and empirical evidence。Economic Notes，33(2)，183-208。
10.	Collin-Dufresne, P.、Goldstein, R. S.(2001)。Do Credit Spreads Reflect Stationary Leverage Ratios?。Journal of Finance，56(5)，1929-1957。
11.	Lu, Su-lien、Kuo, Chau-jung(20060400)。The Default Probability of Bank Loans in Taiwan: An Empirical Investigation by the Markov Chain Model。Asia Pacific Management Review，11(2)，111-122。
12.	Lu, Su-lien(20070400)。An Approach to Condition the Transition Matrix on Credit Cycle: An Empirical Investigation of Bank Loans in Taiwan。Asia Pacific Management Review，12(2)，73-84。
13.	Wei, J. Z.(2003)。A multi-factor, credit migration model for sovereign and corporate debts。Journal of International Money and Finance，22(5)，709-735。
14.	Rabiner, Lawrence R.(1989)。A Tutorial on Hidden Markov Models and Selected Applications in Speech Recognition。Proceedings of the IEEE，77(2)，257-286。
15.	Jarrow, R. A.、Lando, D.、Turnbull, S. M.(1997)。A Markov Model for the Term Structure of Credit Risk Spreads。Review of Financial Studies，10(2)，481-523。
16.	Black, F.、Cox, J. C.(1976)。Valuing Corporate Securities: Some Effects of Bond Indenture Provisions。The Journal of Finance，31(2)，351-367。
17.	Kijima, M.、Komoribayashi, K.(1998)。A Markov Chain Model for Valuing Credit Risk Derivatives。Journal of Derivatives，6(1)，97-108。
18.	Lando, D.(1998)。On Cox processes and credit risky securities。Review of Derivatives research，2(2)，99-120。
19.	Longstaff, Francis A.、Schwartz, Eduardo S.(1995)。A Simple Approach to Valuing Risky Fixed and Floating Rate Debt。Journal of Finance，50(3)，789-819。
20.	Duffie, Darrell、Singleton, Kenneth J.(1997)。An econometric model of the term structure of interest rate swap yields。Journal of Finance，52(4)，1287-1321。
21.	Jarrow, Robert A.、Turnbull, Stuart M.(1995)。Pricing Derivatives on Financial Securities Subject to Credit Risk。Journal of Finance，50(1)，53-85。
22.	Nickella, Pamela、Perraudinb, William、Varotto, Simone(2000)。Stability of Rating Transitions。Journal of Banking & Finance，24(1/2)，203-227。
23.	Merton, Robert C.(1974)。On the Pricing of Corporate Debt: The Risk Structure of Interest Rates。The Journal of Finance，29(2)，449-470。
24.	Leland, Hayne E.(1994)。Corporate debt value, bond covenants, and optimal capital structure。The Journal of Finance，49(4)，1213-1252。
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研究報告
1.	Hull, J.、White, A.(1991)。The impact of default risk on option prices。University of Toronto。
2.	Madan, D. B.、Ural, H.(1994)。Pricing the risk of default。Wharton Business School。
3.	Kim, I. J.、Ramaswamy, K.、Sundaresan, S.(198908)。The valuation of corporate fixed income securities。White Center, University of Pennsylvania。

學位論文
1.	Lando, D.(1994)。Three essays on contingent claims pricing(博士論文)。Cornell University，Ithaca。

圖書
1.	Holmes, J.(1988)。Speech Synthesis and Recognition。Princeton, NJ：Van Nostrand-Reinhold。
2.	Koski, T.(2001)。Hidden Markov models for bioinformatics。Dordrecht：Kluwer。
3.	Duffie, D.(1998)。Defaultable term structure models with fractional recovery of par。Palo Alto, CA：Graduate School of Business, Stanford University。
4.	MacDonald, I. L.、Zucchini, W.(1997)。Hidden Markov and Other Models for Discrete-valued Time Series。London：Chapman and Hall。

圖書論文
1.	Ching, W.、Ng, M.、Fung, E.(2003)。Higher-order hidden Markov models with applications to DNA sequences。IDEAL, Lecture Notes in Computer Science。Berlin。
2.	Ching, W.、Ng, M.(2006)。Markov chains: Models, algorithms and applications。International Series on Operations Research and Management Science。New York：Springer。

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