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Inference and filtration of a hidden factor in credit risk
KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
2019 (English)Independent thesis Advanced level (degree of Master (Two Years)), 20 credits / 30 HE creditsStudent thesisAlternative title
Inferens och filtrering av en dold faktor inom kreditrisk (Swedish)
Abstract [en]

This Document is a Master Thesis report as part of the cycle of the ENSIMAG and KTH engineer. The internship linked to this report took place at Nexialog Consulting, Paris.This document deals with the inference and ļ¬ltration by a counting process of a hidden parameter. The theory developed here is applied to Credit risk and specially to Migration Matrices of Rating.

Place, publisher, year, edition, pages
2019.
Series
TRITA-SCI-GRU ; 2019:307
National Category
Mathematics
Identifiers
URN: urn:nbn:se:kth:diva-256051OAI: oai:DiVA.org:kth-256051DiVA, id: diva2:1355025
External cooperation
Nexialog Consulting, Paris.
Subject / course
Financial Mathematics
Educational program
Master of Science in Engineering -Engineering Physics
Supervisors
Examiners
Available from: 2019-09-26 Created: 2019-09-26 Last updated: 2019-09-26Bibliographically approved

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fulltext(1479 kB)8 downloads
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File name FULLTEXT01.pdfFile size 1479 kBChecksum SHA-512
a8c6d2ae0404b8c44053a7049743f1a5a5012aef824a12553c66fa7c87f5a95632823c3b779ff4c99d99927bdac3e89c33235216a1022b8c9d78280e35ba7486
Type fulltextMimetype application/pdf

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CiteExportLink to record
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Citation style
  • apa
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Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
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  • Other locale
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Output format
  • html
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