Credit risk : simple closed-form approximate maximum likelihood estimator
Anand Deo, Sandeep Juneja
| Year of publication: |
2021
|
|---|---|
| Authors: | Deo, Anand ; Juneja, Sandeep |
| Published in: |
Operations research. - Catonsville, MD : INFORMS, ISSN 0030-364X, ZDB-ID 123389-0. - Vol. 69.2021, 2, p. 361-379
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| Subject: | credit risk | default probabilities | calibration | discrete intensity model | maximum likelihood estimator | logit model | regularization | model misspecification | corrupted data | interpretable machine learning | Kreditrisiko | Credit risk | Maximum-Likelihood-Schätzung | Maximum likelihood estimation | Schätztheorie | Estimation theory | Logit-Modell | Logit model | Modellierung | Scientific modelling | Künstliche Intelligenz | Artificial intelligence |