Analysis of dependency structure of default processes based on Bayesian copula

MaRDI QIDQ2923050zbMATH OpenFDO

Authors Mohammad Seidpisheh, Armin Pourkhanali, Karim Norouzipour, Adel Mohammadpour

Publication date 15 October 2014

Published in Journal of the Iranian Statistical Society JIRSS (Search for Journal in Brave)

zbMATH Keywords

Bayesian copulacredit riskjump diffusion processMarkov chain Monte Carlo

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Bayesian problems; characterization of Bayes procedures (62C10) Monte Carlo methods (65C05) Credit risk (91G40)

Recommendations

• Bayesian copulae distributions, with application to operational risk management
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• Introduction to Bayesian Estimation and Copula Models of Dependence

Cited in

(4)

• Copula Bayesian approach to evaluating the dynamic effect of the system risk at industry level
• Default probability estimation via pair copula constructions
• Analysis of the impact of macroeconomic factors on inter-industry credit risk contagion based on the modified KMV model
• Bayesian inference for credit risk with serially dependent factor model

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