Phase transition in the Bayesian estimation of the default portfolio

DOI10.1016/J.PHYSA.2019.123480OpenAlexW2918250037WikidataQ126812066 ScholiaQ126812066MaRDI QIDQ2137716

Shintaro Mori, Masato Hisakado

Publication date: 16 May 2022

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1902.03797

zbMATH Keywords

phase transitionIsing modelBayesian estimationdefault correlationempirical data analysislong and intermediate memory process

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

Related Items (1)

Parameter estimation of default portfolios using the Merton model and phase transition

Cites Work

• Generalized autoregressive conditional heteroscedasticity
• Digital herders and phase transition in a voting model
• Correlated binomial models and correlation structures
• SOCIOPHYSICS: A REVIEW OF GALAM MODELS
• Introduction to Econophysics
• The random walk's guide to anomalous diffusion: A fractional dynamics approach

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