contribution of this paper, we propose a method to calibrate transition intensities with the one step transition probabilities …

contribution of this paper, we propose a method to calibrate transition intensities with the one step transition probabilities …

transition intensities are a¤ected by macroeconomic and bank spe-ci…c variables. We illustrate how the use of a continuous time …

transition intensities are affected by macroeconomic and bank spe- cific variables. We illustrate how the use of a continuous …

transition intensities based on Bayesian versions of penalised splines. The transition intensities will be modelled as smooth … time. One particular example are Markov processes which can be characterised by a set of time-constant transition … intensities between the states. In this paper, we will extend such parametric approaches to semiparametric models with flexible …

transition intensities are affected by macroeconomic and bank spe- cific variables. We illustrate how the use of a continuous …