Estimation of rating classes and default probabilities in credit risk models with dependencies

DOI10.1002/asmb.2089zbMath1411.62308OpenAlexW1581770852MaRDI QIDQ4620127

Dietmar Ferger, Daniel Tillich

Publication date: 8 February 2019

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/asmb.2089

zbMATH Keywords

strong consistencymixture modeldependencechange pointdefault probabilityregression with jumprating class

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Classification and discrimination; cluster analysis (statistical aspects) (62H30) Applications of statistics to actuarial sciences and financial mathematics (62P05) Credit risk (91G40)

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