Confidence sets and confidence bands for a beta distribution with applications to credit risk management
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DOI: 10.1016/j.insmatheco.2017.05.006
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References listed on IDEAS
- Jones,Stewart & Hensher,David A. (ed.), 2008. "Advances in Credit Risk Modelling and Corporate Bankruptcy Prediction," Cambridge Books, Cambridge University Press, number 9780521689540, November.
- Frontczak, Robert & Rostek, Stefan, 2015. "Modeling loss given default with stochastic collateral," Economic Modelling, Elsevier, vol. 44(C), pages 162-170.
- Wei, Li & Yuan, Zhongyi, 2016. "The loss given default of a low-default portfolio with weak contagion," Insurance: Mathematics and Economics, Elsevier, vol. 66(C), pages 113-123.
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- Lautier, Jackson P. & Pozdnyakov, Vladimir & Yan, Jun, 2023. "Pricing time-to-event contingent cash flows: A discrete-time survival analysis approach," Insurance: Mathematics and Economics, Elsevier, vol. 110(C), pages 53-71.
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Keywords
Credit risk; Loss given default; Beta distribution; Multiple comparison; Confidence band;All these keywords.
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