Back-testing credit risk parameters on low default portfolios : a simple Bayesian transfer learning approach with an application to sovereign risk‖
Sergio Caprioli, Raphael Cavallari, Jacopo Foschi and Riccardo Cogo
| Year of publication: |
2025
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|---|---|
| Authors: | Caprioli, Sergio ; Cavallari, Raphael ; Foschi, Jacopo ; Cogo, Riccardo |
| Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 25.2025, 3, p. 491-508
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| Subject: | Back-testing | Bayesian statistics | Country risk | Credit risk | Low default portfolio | Single factor model | Sovereign | Kreditrisiko | Länderrisiko | Portfolio-Management | Portfolio selection | Theorie | Theory | Bayes-Statistik | Bayesian inference | Risikoprämie | Risk premium |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2025.2466740 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015534110