Correlated defaults, temporal correlation, expert information and predictability of default rates

DOI10.1080/07474938.2017.1307547OpenAlexW1583125606MaRDI QIDQ5864644

Nicholas M. Kiefer

Publication date: 8 June 2022

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://cae.economics.cornell.edu/09-12.pdf

zbMATH Keywords

time seriesmaximum entropyBayesian inferencerisk managementprior elicitationBasel II

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

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Cites Work

• Analysis of high dimensional multivariate stochastic volatility models
• Default Estimation and Expert Information
• Incorporating support constraints into nonparametric estimators of densities
• Uncertain Judgements: Eliciting Experts' Probabilities
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