We develop a Bayesian hierarchical logistic regression model to predict the credit risk of companiers classified in different sectors. Explanatory variables derived by experts from balance-sheets are included. Markov chain Monte Carlo (MCMC) methods are used to estimate the proposed model. In...

We develop an efficient computational algorithm that produces efficient Markov chain Monte Carlo (MCMC) transition matrices. The first level of efficinecy is measured in terms of the number of operations needed to produce the resulting matrix. The second level of efficiency is evaluaded in terms...