Reinforced urn processes for credit risk models
Year of publication: |
2015
|
---|---|
Authors: | Peluso, Stefano ; Mira, Antonietta ; Muliere, Pietro |
Published in: |
Journal of Econometrics. - Elsevier, ISSN 0304-4076. - Vol. 184.2015, 1, p. 1-12
|
Publisher: |
Elsevier |
Subject: | Default rate estimation | Multivariate Beta distribution | Polya urn | Rating migration matrix estimation | Reinforced urn processes |
-
Reinforced urn processes for credit risk models
Peluso, Stefano, (2015)
-
Probabilities of Default for Impairment Under IFRS 9
Conze, Antoine, (2015)
-
Sparse Structural Approach for Rating Transitions
Perederiy, Volodymyr, (2020)
- More ...
-
Peluso, Stefano, (2019)
-
A Bayesian high-frequency estimator of the multivariate covariance of noisy and asynchronous returns
Peluso, Stefano, (2015)
-
Reinforced urn processes for credit risk models
Peluso, Stefano, (2015)
- More ...