Credit risk modeling based on survival analysis with immunes

Author:

Beran Jan,Djaïdja Abdel-Yazid Karim

Publisher

Elsevier BV

Subject

Statistics and Probability

Reference14 articles.

1. H. Akaike, Information theory and an extension of the maximum likelihood principle, in: B.N. Petrov, F. Csaki (Eds.), 2nd International Symposium on Information Theory, 1973, pp. 267–281

2. Basel committee on banking supervision, Basel II: International Convergence of Capital Measurement and Capital Standards: A Revised Framework, Basel Committee Publications No. 107, June 2004, 2004. Available from http://www.bis.org

3. Small sample asymptotics for credit risk portfolios;Beran;Journal of Computational and Graphical Statistics,2004

4. Analysis of Survival Data;Cox,1984

5. Consistency and asymptotic normality of the maximum likelihood estimator in generalized linear models;Fahrmeir;The Annals of Statistics,1985

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