A dynamic Bayesian approach for probability of default and stress test-Reference-Cited by-同舟云学术

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A dynamic Bayesian approach for probability of default and stress test

Published:2020-09-30 Issue:5 Volume:27 Page:579-588
ISSN:2383-4757
Container-title:Communications for Statistical Applications and Methods
language:en
Short-container-title:CSAM

Author:

Kim Taeyoung¹,Park Yousung²

Affiliation:

1. Korea Enterprise Data Co. Ltd., Korea

2. Department of Statistics, Korea University, Korea

Publisher

Communications for Statistical Applications and Methods

Subject

Applied Mathematics,Statistics, Probability and Uncertainty,Finance,Modelling and Simulation,Statistics and Probability

Reference19 articles.

1. Bayesian Analysis of Binary and Polychotomous Response Data

2. Default and Recovery Risk Dependencies in a Simple Credit Risk Model

3. Basel Committee on Banking Supervision (2017). <italic>Basel IV</italic>.

4. Cargnoni C, Muller P, and West M (1997). Bayesian forecasting of multinomial time series through conditional Gaussian dynamic models. <italic>Journal of the American Statistical Association</italic>, <bold>92</bold>, 640-647.

5. Condon P (2014). <italic>Applied Bayesian Modeling</italic> (2nd Ed), New York, John Wiley & Sons.

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