Bankruptcy risk dependence structure using the INAR model comprising macroeconomic indicators applied to stress tests (Q2166070)
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scientific article; zbMATH DE number 7574566
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| English | Bankruptcy risk dependence structure using the INAR model comprising macroeconomic indicators applied to stress tests |
scientific article; zbMATH DE number 7574566 |
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Bankruptcy risk dependence structure using the INAR model comprising macroeconomic indicators applied to stress tests (English)
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23 August 2022
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INAR model
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multidimensional Hawkes process
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credit risk
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0.696799635887146
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0.6851659417152405
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0.6769721508026123
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0.6732998490333557
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0.6723460555076599
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