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Forecasting Forward Defaults with the Discrete‐Time Hazard Model - MaRDI portal

Forecasting Forward Defaults with the Discrete‐Time Hazard Model

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Publication:4687493

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DOI10.1002/FOR.2278zbMath1397.62415OpenAlexW1593756367MaRDI QIDQ4687493

Chih-Kang Chu, Ruey-Ching Hwang

Publication date: 12 October 2018

Published in: Journal of Forecasting (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/for.2278

zbMATH Keywords

credit risk hazard model default losses expanding rolling window predicted survival time

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Credit risk (91G40)

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