A Double HMM approach to Altman Z-scores and credit ratings

作者：

Highlights：

• Credit ratings and Altman Z-scores are used to evaluate credit qualities of firms.

• A double hidden Markov model is built to fuse the two sources of information.

• Recursive estimates of model parameters are provided using filtering.

• Empirical results are provided to illustrate the practical implementation of the model.

摘要

•Credit ratings and Altman Z-scores are used to evaluate credit qualities of firms.•A double hidden Markov model is built to fuse the two sources of information.•Recursive estimates of model parameters are provided using filtering.•Empirical results are provided to illustrate the practical implementation of the model.

论文关键词：Altman Z-scores,Credit ratings,Double hidden Markov models,Filters,EM algorithm

论文评审过程：Available online 5 September 2013.

论文官网地址：https://doi.org/10.1016/j.eswa.2013.08.052