Bayesian confidence intervals for probability of default and asset correlation of portfolio credit risk

Author:

Chang Yi-Ping,Yu Chih-Tun

Publisher

Springer Science and Business Media LLC

Subject

Computational Mathematics,Statistics, Probability and Uncertainty,Statistics and Probability

Reference33 articles.

1. Andersen LBG, Sidenius J (2004) Extensions to the Gaussian copula: random recovery and random factor loadings. J Cred Risk 1:29–70

2. Bangia A, Diebold FX, Kronimus A, Schagen C, Schuermann T (2002) Ratings migration and the business cycle, with applications to credit portfolio stress testing. J Banking Financ 26:445–474

3. Basel Committee on Banking Supervision (2011) A global regulatory framework for more resilient banks and banking systems-revised version. Consultative Document. Bank for International Settlements. http://www.bis.org/publ/bcbs189.pdf

4. Bluhm C, Overbeck L, Wagner C (2010) Introduction to credit risk modeling. Chapman & Hall/CRC, London

5. Carlin BP, Louis TA (2008) Bayesian methods for data analysis. Chapman & Hall/CRC, London

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