Credit risk in an economy with new firms arrivals

DOI10.1007/S11009-016-9525-4MaRDI QIDQ1707052zbMATH OpenOpenAlexFDO

Authors Silvia Centanni, I. Oliva, Paola Tardelli

Publication date 28 March 2018

Published in Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11009-016-9525-4

zbMATH Keywords

credit riskdefault correlationheterogeneous populationsparticle filter

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Credit risk (91G40)

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Cites work

• A bottom-up dynamic model of portfolio credit risk. I: Markov copula perspective
• Beta Regression for Modelling Rates and Proportions
• Biologically inspired algorithms for financial modelling.
• Central limit theorem for sequential Monte Carlo methods and its application to Bayesian inference
• Concentration Risk in Credit Portfolios
• Credit risk: Modelling, valuation and hedging
• Exchangeable mixture models for lifetimes: the role of ``occupation numbers.
• Filtering equations for the conditional law of residual lifetimes from a heterogeneous population
• Heterogeneous population dynamical model: a filtering problem
• scientific article; zbMATH DE number 3951715 (Why is no real title available?)
• Joint densities of hitting times for finite state Markov processes
• Modeling and filtering credit merit in a set of firms
• Modelling default contagion using multivariate phase-type distributions
• Occupancy numbers for dynamic heterogeneous populations: Estimate of particles lifetimes
• Optimal investment under partial information

Cited in

(7)

• Effects of economic interactions on credit risk
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• Probabilistic prediction of credit ratings: a filtering approach
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