Credit risk modeling based on survival analysis with immunes
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Publication:713772
DOI10.1016/j.stamet.2006.09.001zbMath1248.91095MaRDI QIDQ713772
Abdel-Yazid Karim Djaïdja, Jan Beran
Publication date: 19 October 2012
Published in: Statistical Methodology (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.stamet.2006.09.001
maximum likelihood estimation; survival analysis; mixture distribution; default probability; credit risk modeling; extreme censoring; time to default
91G40: Credit risk
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