Endogenous Hidden Markov Regimes in Operational Loss Data: Application to the Recent Financial Crisis

Author: A Chapelle, A Chernobai, A Frachot, B Rigby, C Carrillo, C Fernandez, D J Cummins, E Cope, G Dionne, G Dionne, Georges Dionne, H Chen, H Dahen, H Dahen, H S Bhamra, H S Na, I Visser, J B Mcdonald, J Ne?lehov�, J Shih, K K Dutta, L Allen, M A Lewis, M Ames, M G Cruz, O Maalaoui Chun, P F Christoffersen, P H Kupiec, R A Jarrow, R F Engle, Samir Saissi Hassani, T Hartung, V Chavez-Demoulin
Publisher: Elsevier BV

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