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The paper analyzes a two-factor credit risk model allowing to capture default and recovery rate variation, their mutual correlation, and dependence on various explanatory variables. At the same time, it allows computing analytically the unexpected credit loss. We propose and empirically...
Persistent link: https://www.econbiz.de/10009743064
Quantitative investment strategies are often selected from a broad class of candidate models estimated and tested on historical data. Standard statistical techniques to prevent model overfitting such as out-sample backtesting turn out to be unreliable in situations when the selection is based on...
Persistent link: https://www.econbiz.de/10012423034
Persistent link: https://www.econbiz.de/10011532802
Quantitative investment strategies are often selected from a broad class of candidate models estimated and tested on historical data. Standard statistical technique to prevent model overfitting such as out-sample back-testing turns out to be unreliable in the situation when selection is based on...
Persistent link: https://www.econbiz.de/10011722180
Persistent link: https://www.econbiz.de/10012170648
Persistent link: https://www.econbiz.de/10014338462