- Full text PDF available (1)
- This year (0)
- Last 5 years (0)
- Last 10 years (0)
Journals and Conferences
Observation of historical default rates supports the idea that default events (and, more generally, all indicators of credit quality and transition) are correlated. Default correlations are caused by similar economic conditions and, within a sector, by industry-specific reasons. However, incorporating default correlation in any portfolio credit risk… (More)
It has been known for some time that a class of unbiased filters has a complementary filter structure. We show that a similar result holds for the reduced order case.
When a nonlinear dynamical or observational model is used to describe a system, the Kalman filter cannot be used to estimate the state without some approximation being made. If the approximation used is linearization of the equations about the state estimate, the resulting modification of the Kalman filter is often called an extended Kalman filter. In this… (More)