Rating frailty, Bayesian updates, and portfolio credit risk analysis*

DOI10.1080/14697688.2021.2013519MaRDI QIDQ5079370zbMATH OpenOpenAlexFDO

Authors Shang Bu, Nan Guo, Lingfei Li

Publication date 27 May 2022

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697688.2021.2013519

zbMATH Keywords

credit ratingfrailtyportfolio credit risksurveillance

Mathematics Subject Classification ID

Portfolio theory (91G10) Credit risk (91G40)

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Cites work

• A Bayesian approach to modeling mortgage default and prepayment
• Accuracy of mortgage portfolio risk forecasts during financial crises
• Adaptive Rejection Sampling for Gibbs Sampling
• Bayes Factors
• Common failings: how corporate defaults are correlated
• scientific article; zbMATH DE number 509150 (Why is no real title available?)
• scientific article; zbMATH DE number 840151 (Why is no real title available?)
• MCMC ESTIMATION OF LÉVY JUMP MODELS USING STOCK AND OPTION PRICES
• MCMC using Hamiltonian dynamics
• Modeling frailty-correlated defaults using many macroeconomic covariates
• Multiperiod corporate default prediction -- a forward intensity approach
• Risk analysis of collateralized debt obligations
• Slice sampling. (With discussions and rejoinder)
• Survival and event history analysis. A process point of view

Cited in

(7)

• Forecasting and decomposition of portfolio credit risk using macroeconomic and frailty factors
• Machine learning for corporate default risk: multi-period prediction, frailty correlation, loan portfolios, and tail probabilities
• Reinforced urn processes for credit risk models
• Bayeslan Credit Ratings
• Predicting credit ratings and transition probabilities: a simple cumulative link model with firm-specific frailty
• Predicting forward default probabilities of firms: a discrete-time forward hazard model with firm-specific frailty
• Modeling frailty-correlated defaults using many macroeconomic covariates

Describes a project that uses

Uses Software

• invGauss
• bshazard

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