Default prediction with dynamic sectoral and macroeconomic frailties

Peimin Chen; Chunchi Wu

Year of publication:	2014
Authors:	Chen, Peimin ; Wu, Chunchi
Published in:	Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 40.2014, p. 211-226
Subject:	Default risk \| Hazard rate function \| Frailty \| Distance to default \| Tail loss \| Monte Carlo expectations maximization (EM) \| Gibbs sampler \| Kreditrisiko \| Credit risk \| Theorie \| Theory \| Monte-Carlo-Simulation \| Monte Carlo simulation \| Prognoseverfahren \| Forecasting model \| Insolvenz \| Insolvency \| Kreditwürdigkeit \| Credit rating

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