Default forecast with auxiliary information using a logarithmic transformation model

DOI10.1360/SCM-2018-0622MaRDI QIDQ5064269zbMATH OpenFDO

Authors Moming Wang, Yong Zhou

Publication date 21 March 2022

Published in SCIENTIA SINICA Mathematica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1360/SCM-2018-0622

zbMATH Keywords

auxiliary informationcredit riskdefaultempirical likelihoodlog-transformation

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

• Forecasting forward defaults with the discrete-time hazard model
• Forecasting forward defaults: a simple hazard model with competing risks
• scientific article; zbMATH DE number 232272
• A class of discrete transformation survival models with application to default probability prediction
• A TRACTABLE MULTIVARIATE DEFAULT MODEL BASED ON A STOCHASTIC TIME-CHANGE
• Predicting default probabilities in emerging markets by new conic generalized partial linear models and their optimization
• Semi-parametric estimation and forecasting for exogenous log-GARCH models
• scientific article; zbMATH DE number 2112230
• scientific article; zbMATH DE number 5280213
• Modelling stylized features in default rates

This page was built for publication: Default forecast with auxiliary information using a logarithmic transformation model

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5064269)