Modelling stylized features in default rates

DOI10.1002/ASMB.638zbMath1143.91023OpenAlexW2059996365MaRDI QIDQ5430337

Emanuele Taufer

Publication date: 16 December 2007

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.638

zbMATH Keywords

diffusion processBeta distributiondefault probabilityMoody's classes

Mathematics Subject Classification ID

Related Items (3)

Semi-parametric estimation of the autoregressive parameter in non-Gaussian Ornstein–Uhlenbeck processes ⋮ Assessment of mortgage default risk via Bayesian state space models ⋮ Bayesian analysis of proportions via a hidden Markov model

Cites Work

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