Modeling stylized features in default rates

Emanuele Taufer

No 21, Alea Tech Reports from Department of Computer and Management Sciences, University of Trento, Italy

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.

Pages: 21 pages
Date: 2006-04, Revised 2008-06-14
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Citations: View citations in EconPapers (3)

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