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Modelling stylized features in default rates

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  • Emanuele Taufer

Abstract

We propose a stochastic model for the probability of default based on diffusions with given marginal distribution and autocorrelation function. The model tries to capture stylized features observed in historical default rates and is analytically tractable. Estimation procedures and expressions for analysis and prediction are provided. Copyright © 2006 John Wiley & Sons, Ltd.

Suggested Citation

  • Emanuele Taufer, 2007. "Modelling stylized features in default rates," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 23(1), pages 73-82, January.
    • Handle: RePEc:wly:apsmbi:v:23:y:2007:i:1:p:73-82
    DOI: 10.1002/asmb.638
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    Cited by:

    1. Ceren Eda Can & Gul Ergun & Refik Soyer, 2022. "Bayesian Analysis of Proportions via a Hidden Markov Model," Methodology and Computing in Applied Probability, Springer, vol. 24(4), pages 3121-3139, December.
    2. Levene, Mark & Fenner, Trevor, 2021. "A stochastic differential equation approach to the analysis of the 2017 and 2019 UK general election polls," International Journal of Forecasting, Elsevier, vol. 37(3), pages 1227-1234.

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