REINFORCED URN PROCESSES FOR MODELING CREDIT DEFAULT DISTRIBUTIONS (Q3022103)
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scientific article; zbMATH DE number 2177862
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| English | REINFORCED URN PROCESSES FOR MODELING CREDIT DEFAULT DISTRIBUTIONS |
scientific article; zbMATH DE number 2177862 |
Statements
REINFORCED URN PROCESSES FOR MODELING CREDIT DEFAULT DISTRIBUTIONS (English)
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22 June 2005
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default probability
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credit spreads
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Polya urn schemes
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Dirichlet process
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BetaStacy process
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0.8661789298057556
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0.7456113696098328
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0.7422899603843689
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0.7418823838233948
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0.7400916218757629
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