IEEE - Institute of Electrical and Electronics Engineers, Inc. - Forecasting of Power Corporations’ Default Probability With Nonlinear Kalman Filtering

Author(s): Gerasimos Rigatos ; Pierluigi Siano
Sponsor(s): IEEE Systems Council
Publisher: IEEE - Institute of Electrical and Electronics Engineers, Inc.
Volume: PP
Page(s): 1 - 9
ISSN (CD): 2373-7816
ISSN (Paper): 1932-8184
ISSN (Online): 1937-9234
DOI: 10.1109/JSYST.2016.2610320
Regular:

This paper proposes a systematic method for forecasting default probabilities for financial firms with particular interest in electric power corporations. According to the credit risk theory, a... View More

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