Modelling stylized features in default rates

DOI10.1002/ASMB.638MaRDI QIDQ5430337zbMATH OpenOpenAlexFDO

Authors Emanuele Taufer

Publication date 16 December 2007

Published in Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/asmb.638

zbMATH Keywords

Beta distributiondefault probabilitydiffusion processMoody's classes

Mathematics Subject Classification ID

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Cited in

(7)

• Bayesian analysis of proportions via a hidden Markov model
• REINFORCED URN PROCESSES FOR MODELING CREDIT DEFAULT DISTRIBUTIONS
• Modelling default risk using a stochastic process approach.
• Assessment of mortgage default risk via Bayesian state space models
• Default forecast with auxiliary information using a logarithmic transformation model
• Semi-parametric estimation of the autoregressive parameter in non-Gaussian Ornstein–Uhlenbeck processes
• A fast algorithm for numerical solutions to Fortet's equation

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