REINFORCED URN PROCESSES FOR MODELING CREDIT DEFAULT DISTRIBUTIONS

DOI10.1142/S0219024904002505zbMath1107.91321MaRDI QIDQ3022103

Piercesare Secchi, Emanuele Amerio, Pietro Muliere

Publication date: 22 June 2005

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

Dirichlet processcredit spreadsPolya urn schemesdefault probabilityBetaStacy process

Mathematics Subject Classification ID

Bayesian problems; characterization of Bayes procedures (62C10) Exchangeability for stochastic processes (60G09)

Related Items

The statistical properties of the threshold model and the feedback leadership condition ⋮ An application of reinforced urn processes to determining maximum tolerated dose ⋮ Semi-parametric estimation of the autoregressive parameter in non-Gaussian Ornstein–Uhlenbeck processes ⋮ Reinforced urn processes for credit risk models ⋮ A NONPARAMETRIC URN-BASED APPROACH TO INTERACTING FAILING SYSTEMS WITH AN APPLICATION TO CREDIT RISK MODELING ⋮ Alarm systems and catastrophes from a diverse point of view ⋮ Joint and survivor annuity valuation with a bivariate reinforced urn process

Cites Work

• Urn schemes and reinforced random walks.
• A Bayesian analysis of some nonparametric problems
• Reinforced random processes in continuous time.
• MODEL PERFORMANCE MEASURES FOR EXPECTED UTILITY MAXIMIZING INVESTORS