Capturing model risk and rating momentum in the estimation of probabilities of default and credit rating migrations
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Publication:5139214
DOI10.1080/14697688.2020.1726439zbMath1453.91102arXiv1809.09889OpenAlexW3015412103MaRDI QIDQ5139214
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Publication date: 7 December 2020
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1809.09889
Bayesian inference (62F15) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Credit risk (91G40)
Related Items (3)
Predicting credit ratings and transition probabilities: a simple cumulative link model with firm-specific frailty ⋮ Composite Likelihood Estimation of an Autoregressive Panel Ordered Probit Model with Random Effects ⋮ A robust bank asset allocation model integrating credit-rating migration risk and capital adequacy ratio regulations
Uses Software
Cites Work
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