A Bayesian Simulation Approach to Inference on a Multi-State Latent Factor Intensity Model

Chew Chua, Guay Lim and Penelope Smith
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Penelope Smith: Westpac Banking Corporation, Sydney

Melbourne Institute Working Paper Series from Melbourne Institute of Applied Economic and Social Research, The University of Melbourne

Abstract: This paper provides a Bayesian approach to inference on a multi-state latent factor intensity model to manage the problem of highly analytically intractable pdfs. The sampling algorithm used to obtain posterior distributions of the model parameters includes a particle filter step and a Metropolis-Hastings step within a Gibbs sampler. A simulated example is conducted to show the feasibility and accuracy of this sampling algorithm. The approach is applied to the case of credit ratings transition matrices.

Pages: 20 pages
Date: 2008-08
New Economics Papers: this item is included in nep-ecm
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Persistent link: https://EconPapers.repec.org/RePEc:iae:iaewps:wp2008n16

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