CREDIT PORTFOLIO MODELLING: Dynamic frailties and credit portfolio modelling - The authors estimate and discuss a reduced-form credit portfolio model in a proportional hazard framework. They propose an innovative method of generating flexible amounts of dependence between underlying defaults by introducing unobservable dynamic common explanatory variables, called dynamic frailties.
| Year of publication: |
2006
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| Authors: | Delloye, Martin ; Fermanian, Jean-David ; Sbai, Mohammed |
| Published in: |
Risk : managing risk in the world's financial markets. - London : Incisive Financial Publ, ISSN 0952-8776, ZDB-ID 10494753. - Vol. 19.2006, 10, p. 100-105
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