Exposure at Default Modeling with Default Intensities
نویسندگان
چکیده
منابع مشابه
Localising Forward Intensities for Multiperiod Corporate Default ∗
Using a local adaptive Forward Intensities Approach (FIA) we investigate multiperiod corporate defaults and other delisting schemes. The proposed approach is fully datadriven and is based on local adaptive estimation and the selection of optimal estimation windows. Time-dependent model parameters are derived by a sequential testing procedure that yields adapted predictions at every time point. ...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2011
ISSN: 1556-5068
DOI: 10.2139/ssrn.2489672