Using Hidden Markov Model to Detect Macro-economic Risk Level
(2013)
Journal Article
Zhu, Y., & Cheng, J. (2013). Using Hidden Markov Model to Detect Macro-economic Risk Level. Review of Integrative Business and Economics Research (RIBER), 2(1), 238-249
In this paper, inspired by Moody’s BET model, a stochastic hidden Markov model is constructed to detect the macro-economic risk states hidden in the corporate default data. The observed default statistics are from four geographic regions, namely Asia... Read More about Using Hidden Markov Model to Detect Macro-economic Risk Level.