Default prediction with dynamic sectoral and macroeconomic frailties
Peimin Chen; Chunchi Wu
| Year of publication: |
2014
|
|---|---|
| Authors: | Chen, Peimin ; Wu, Chunchi |
| Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 40.2014, p. 211-226
|
| Subject: | Default risk | Hazard rate function | Frailty | Distance to default | Tail loss | Monte Carlo expectations maximization (EM) | Gibbs sampler | Theorie | Theory | Kreditrisiko | Credit risk | Monte-Carlo-Simulation | Monte Carlo simulation | Insolvenz | Insolvency | Prognoseverfahren | Forecasting model | Kreditwürdigkeit | Credit rating | Statistische Verteilung | Statistical distribution |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010402234