Trân-cao-Son; Nicolau, Dan; Nayak, Richi; Verhoeven, Peter - In: Journal of risk and financial management : JRFM 14 (2021) 7, pp. 1-21
This paper proposes a conceptual modeling framework based on category theory that serves as a tool to study common structures underlying diverse approaches to modeling credit default that at first sight may appear to have nothing in common. The framework forms the basis for an entropy-based...