Modeling frailty-correlated defaults using many macroeconomic covariates

DOI10.1016/j.jeconom.2011.02.003zbMath1441.62783OpenAlexW2115637361MaRDI QIDQ737911

André Lucas, Bernd Schwaab, Siem Jan Koopman

Publication date: 12 August 2016

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2011.02.003

zbMATH Keywords

credit risk managementfrailty-correlated defaultsstate space methodssystematic default risk

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (15)

EFFECT OF THE COMPANY RELATIONSHIP NETWORK ON DEFAULT PREDICTION: EVIDENCE FROM CHINESE LISTED COMPANIES ⋮ Accuracy of mortgage portfolio risk forecasts during financial crises ⋮ MODELING LIFETIME EXPECTED CREDIT LOSSES ON BANK LOANS ⋮ Rating frailty, Bayesian updates, and portfolio credit risk analysis* ⋮ Consistent estimation for discretely observed Markov jump processes with an absorbing state ⋮ Maximum likelihood estimation and inference for high dimensional generalized factor models with application to factor-augmented regressions ⋮ Fuzzy decision fusion approach for loss-given-default modeling ⋮ Maximum likelihood estimation for left-censored survival times in an additive hazard model ⋮ A score-test on measurement errors in rating transition times ⋮ Disentangling and assessing uncertainties in multiperiod corporate default risk predictions ⋮ Filtered likelihood for point processes ⋮ Forecasting and decomposition of portfolio credit risk using macroeconomic and frailty factors ⋮ Parameter Estimation in Credit Models Under Incomplete Information ⋮ Improving corporate bond recovery rate prediction using multi-factor support vector regressions ⋮ Machine learning for corporate default risk: multi-period prediction, frailty correlation, loan portfolios, and tail probabilities

Uses Software

• Ox
• QRM

Cites Work

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• The multi-state latent factor intensity model for credit rating transitions
• Monte Carlo maximum likelihood estimation for non-Gaussian state space models
• A simple and efficient simulation smoother for state space time series analysis
• Forecasting Using Principal Components From a Large Number of Predictors
• The simulation smoother for time series models
• The Generalized Dynamic Factor Model

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