Modeling frailty correlated defaults with multivariate latent factors
Year of publication: |
2020
|
---|---|
Authors: | Christoffersen, Benjamin ; Matin, Rastin |
Publisher: |
Copenhagen : Danmarks Nationalbank |
Subject: | Credit risk | Risk management |
Series: | |
---|---|
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 168801988X [GVK] hdl:10419/227869 [Handle] |
Classification: | C53 - Forecasting and Other Model Applications ; c55 ; G33 - Bankruptcy; Liquidation ; M41 - Accounting |
Source: |
-
Modeling frailty correlated defaults with multivariate latent factors
Christoffersen, Benjamin, (2020)
-
Can machine learning models capture correlations in corporate distresses?
Christoffersen, Benjamin, (2018)
-
Can machine learning models capture correlations in corporate distresses?
Christoffersen, Benjamin, (2018)
- More ...
-
Can machine learning models capture correlations in corporate distresses?
Christoffersen, Benjamin, (2018)
-
Modeling Frailty Correlated Defaults With Multivariate Latent Factors
Christoffersen, Benjamin, (2019)
-
Can Machine Learning Models Capture Correlations in Corporate Distresses?
Christoffersen, Benjamin, (2019)
- More ...