A NONPARAMETRIC URN-BASED APPROACH TO INTERACTING FAILING SYSTEMS WITH AN APPLICATION TO CREDIT RISK MODELING

DOI10.1142/S0219024910006170zbMath1205.91164arXiv1010.3586OpenAlexW2962940735MaRDI QIDQ3067161

Pietro Muliere, Pasquale Cirillo, Juerg Hüsler

Publication date: 20 January 2011

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

Full work available at URL: https://arxiv.org/abs/1010.3586

zbMATH Keywords

credit riskdefault riskurn modelfailing systemneutral to right processes

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Credit risk (91G40) Nonparametric inference (62G99) Actuarial science and mathematical finance (91G99)

Related Items (5)

The statistical properties of the threshold model and the feedback leadership condition ⋮ Predictive construction of priors in Bayesian nonparametrics ⋮ Hierarchical reinforced urn processes ⋮ Reinforced urn processes for credit risk models ⋮ Alarm systems and catastrophes from a diverse point of view

Cites Work

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• Advances in combinatorial methods and applications to probability and statistics
• Ferguson distributions via Polya urn schemes
• Analytic urns
• REINFORCED URN PROCESSES FOR MODELING CREDIT DEFAULT DISTRIBUTIONS
• Gibbs Sampling Methods for Stick-Breaking Priors
• Distribution-Free Statistics Based on Normal Deviates in Analysis of Variance

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