A Nonparametric Urn-Based Approach To Interacting Failing Systems With An Application To Credit Risk Modeling
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DOI: 10.1142/S0219024910006170
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Cited by:
- Cheng, Dan & Cirillo, Pasquale, 2018. "A reinforced urn process modeling of recovery rates and recovery times," Journal of Banking & Finance, Elsevier, vol. 96(C), pages 1-17.
- 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.
- 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
Failing system; urn model; neutral to the right processes; credit risk; firms' defaults;All these keywords.
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