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MCMC Estimation of Credit Risk Measures

In: Model Risk in Financial Markets From Financial Engineering to Risk Management

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  • Radu Tunaru

Abstract

The following sections are included:IntroductionA Short ExampleFurther AnalysisBayesian inference with Gibbs samplingHierarchical Bayesian Models for Credit RiskModel specification of probabilities of defaultModel estimationStandard&Poor's Rating DataData descriptionHierarchical model for aggregated dataHierarchical time-series modelHierarchical model for disaggregated dataFurther Credit Modelling with MCMC CallibrationEstimating the Transition MatrixMCMC estimationMLE estimationNotes and Summary

Suggested Citation

  • Radu Tunaru, 2015. "MCMC Estimation of Credit Risk Measures," World Scientific Book Chapters, in: Model Risk in Financial Markets From Financial Engineering to Risk Management, chapter 13, pages 283-320, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789814663410_0013
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