A portfolio optimisation model for credit risky bonds with Markov model credit rating dynamics

2017 ◽  
Vol 6 (2) ◽  
pp. 102
Author(s):  
Selvamuthu Dharmaraja ◽  
Arti Singh
Keyword(s):  
Markov Model ◽  
Credit Rating ◽  
Portfolio Optimisation ◽  
Risky Bonds ◽  
Optimisation Model

scholarly journals A Dependent Hidden Markov Model of Credit Quality

2012 ◽  
Vol 2012 ◽  
pp. 1-13 ◽  
Author(s):  
Małgorzata Wiktoria Korolkiewicz
Keyword(s):  
Markov Chain ◽  
Markov Model ◽  
Hidden Markov Model ◽  
Credit Rating ◽  
Hidden Markov ◽  
Credit Ratings ◽  
The State ◽  
Credit Quality ◽  
The Em Algorithm ◽  
Rating Process

We propose a dependent hidden Markov model of credit quality. We suppose that the "true" credit quality is not observed directly but only through noisy observations given by posted credit ratings. The model is formulated in discrete time with a Markov chain observed in martingale noise, where "noise" terms of the state and observation processes are possibly dependent. The model provides estimates for the state of the Markov chain governing the evolution of the credit rating process and the parameters of the model, where the latter are estimated using the EM algorithm. The dependent dynamics allow for the so-called "rating momentum" discussed in the credit literature and also provide a convenient test of independence between the state and observation dynamics.

scholarly journals Investment Portfolio Optimisation Model Based on Stocks Investment Attractiveness

2015 ◽  
Vol 16 (2) ◽  
pp. 185-194 ◽  
Author(s):  
Marie Pasekova ◽  
Zuzana Fiserova ◽  
Zuzana Crhova ◽  
Dagmar Barinova
Keyword(s):  
Least Squares Method ◽  
Ordinary Least Squares ◽  
Debt Relief ◽  
Portfolio Optimisation ◽  
Investment Portfolio ◽  
A Value ◽  
Zero Rate ◽  
Optimisation Model ◽  
Ordinary Least Squares Method ◽  
Paper Method

The purpose of this contribution is to ascertain the rate of creditors’ satisfaction in debt relief. The aim of the paper is to set an approximation functions which guarantee a value of 100% of satisfaction of creditors’ receivables for a zero rate of debt and asymptotically nears a level of 30% with an increasing rate of debt. There are two methods used in this paper. Method of analysis was used to analyse of collected data on the course of debt relief of natural person. The method of the ordinary least squares method was used for setting the approximation functions. On the basis of a survey, it was found that individual creditors are satisfied to 50% of their ascertained receivables.

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