Reinforced Urn Processes For Modeling Credit Default Distributions
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DOI: 10.1142/S0219024904002505
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Cited by:
- Pasquale Cirillo & Jürg Hüsler & Pietro Muliere, 2013. "Alarm Systems and Catastrophes from a Diverse Point of View," Methodology and Computing in Applied Probability, Springer, vol. 15(4), pages 821-839, December.
- Dan Cheng & Pasquale Cirillo, 2019. "An Urn-Based Nonparametric Modeling of the Dependence between PD and LGD with an Application to Mortgages," Risks, MDPI, vol. 7(3), pages 1-21, July.
- Souto Arias, Luis A. & Cirillo, Pasquale, 2021. "Joint and survivor annuity valuation with a bivariate reinforced urn process," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 174-189.
- Peluso, Stefano & Mira, Antonietta & Muliere, Pietro, 2015. "Reinforced urn processes for credit risk models," Journal of Econometrics, Elsevier, vol. 184(1), pages 1-12.
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Keywords
Default probability; credit spreads; Polya urn schemes; Dirichlet process; Beta–Stacy process; JEL classification code C11; JEL classification code G33; 62C10; 62G99; 60G09;All these keywords.
JEL classification:
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- G33 - Financial Economics - - Corporate Finance and Governance - - - Bankruptcy; Liquidation
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