MCMC Estimation of Credit Risk Measures

Radu Tunaru

Chapter 13 in Model Risk in Financial Markets:From Financial Engineering to Risk Management, 2015, pp 283-320 from World Scientific Publishing Co. Pte. Ltd.

Abstract: The following sections are included:IntroductionA Short ExampleFurther AnalysisBayesian inference with Gibbs samplingHierarchical Bayesian Models for Credit RiskModel specification of probabilities of defaultModel estimationStandard&Poor's Rating DataData descriptionHierarchical model for aggregated dataHierarchical time-series modelHierarchical model for disaggregated dataFurther Credit Modelling with MCMC CallibrationEstimating the Transition MatrixMCMC estimationMLE estimationNotes and Summary

Keywords: Model Risk; Risk Management; Financial Engineering; Financial Markets (search for similar items in EconPapers)
Date: 2015
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