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Using Markov Chains to Estimate Losses from a Portfolio of Mortgages

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References

1962Estimation of the Allowance for Doubtful Accounts by Markov Chains112 cited
1993Forecasting required loan loss reserves59 cited
1991Loan Loss Reserves51 cited
1978The Use of Exponentially-Smoothed Transition Matrices to Improve Forecasting of Cash Flows from Accounts Receivable36 cited
1930Evaluation of Economic Forecasts36 cited
1968Selecting A Portfolio of Credit Risks by Markov Chains35 cited
1983Markov Chain Approaches to the Analysis of Payment Behavior of Retail Credit Customers23 cited
1972Matrix methods in accounting22 cited
1981Note—On the Cyert-Davidson-Thompson Doubtful Accounts Model20 cited

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2015The good, the bad and the impaired: A credit risk model of the Irish mortgage market53 cited

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