Modelling stylized features in default rates

Emanuele Taufer

Applied Stochastic Models in Business and Industry, 2007, vol. 23, issue 1, 73-82

Abstract: We propose a stochastic model for the probability of default based on diffusions with given marginal distribution and autocorrelation function. The model tries to capture stylized features observed in historical default rates and is analytically tractable. Estimation procedures and expressions for analysis and prediction are provided. Copyright © 2006 John Wiley & Sons, Ltd.

Date: 2007
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Persistent link: https://EconPapers.repec.org/RePEc:wly:apsmbi:v:23:y:2007:i:1:p:73-82

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