We study regression models for nonstationary categorical time series and their applications, and address the issues of prediction, estimation and control. Generalized Linear Models and Partial Likelihood are the basic tools in the present study. The models link the probabilities of each category...

After the financial crisis of 2UU8. it is observed that tlie liquidity of many credit derivatives has dried up. The existence of illiquid credit derivatives that can not be perfectly hedged means that the market is incomplete. Therefore. the classical risk-neutral approach to valuing the credit...