Credit Risk: Simple Closed-Form Approximate Maximum Likelihood Estimator

DOI10.1287/opre.2020.2029zbMath1479.91424arXiv1912.12611OpenAlexW3113061097MaRDI QIDQ4994164

Anand Deo, Sandeep Juneja

Publication date: 17 June 2021

Published in: Operations Research (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1912.12611

zbMATH Keywords

regularizationmaximum likelihood estimatorcalibrationcredit riskmodel misspecificationlogit modeldefault probabilitiescorrupted datainterpretable machine learningdiscrete intensity model

Mathematics Subject Classification ID

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

Cites Work

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• Multiperiod corporate default prediction -- a forward intensity approach
• Consistency and asymptotic normality of the maximum likelihood estimator in generalized linear models
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• Importance Sampling for Portfolio Credit Risk
• Portfolio Credit Risk with Extremal Dependence: Asymptotic Analysis and Efficient Simulation
• Credit Risk Modeling
• Asymptotic Statistics
• Bankruptcy Prediction with Industry Effects
• Default Clustering in Large Pools: Large Deviations
• LARGE DEVIATIONS IN MULTIFACTOR PORTFOLIO CREDIT RISK

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