Statistical inference of default probability in credit risk models

被引：0

作者：

Institute of Applied Mathematics and Center of Statistics, Academy of Mathematics and Systems Science, Chinese Acad. of Sci., Beijing 100190, China ^{[1
]}

不详 ^{[2
]}

机构：

[1] Institute of Applied Mathematics and Center of Statistics, Academy of Mathematics and Systems Science, Chinese Acad. of Sci.

[2] Department of Statistics, Shanghai University of Finance and Economics

来源：

Xitong Gongcheng Lilum yu Shijian | 2008年 / 8卷 / 206-214期

关键词：

Censored data; Cox model; Credit risk; Default risk; Hazard (intensity) function; Logist model; Varying-coefficient Cox model;

D O I：

10.1016/s1874-8651(09)60036-3

中图分类号：

学科分类号：

摘要：

In studies of credit risk, reduced model is very important and useful. Default probability is the most important quantity in order to apply the reduced model. In reduced model, we suggest that default is exogenous, so that we can easily use many statistical methods to compute default probability. In this paper we propose some hazard rate models to analyze default risk by some methods of statistics. These models can take into account various risk factors and excellently explain the effect of those factors on the default probability. Meanwhile, these models can deal with dynamic effect and interaction.

引用

页码：206 / 214

页数：8

共 21 条

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