Tid: 11 mars 2019 kl 16.15-16.45.

Föredragshållare: Tom Picard (Master thesis)

Titel: Inference and filtration of a hidden factor in credit risk

Abstract This 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 filtration by a counting process of a hidden parameter. The theory developed here is applied to Credit risk and specially to Migration Matrices of Rating.

The full report (pdf)

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