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Bayesian inference for generalized linear mixed models of portfolio credit risk

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  • McNeil, Alexander J.
  • Wendin, Jonathan P.
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    File URL: http://www.sciencedirect.com/science/article/B6VFG-4KST3GP-1/2/eb0d1fb03d68723baaad579d2ca15541
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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Empirical Finance.

    Volume (Year): 14 (2007)
    Issue (Month): 2 (March)
    Pages: 131-149

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    Handle: RePEc:eee:empfin:v:14:y:2007:i:2:p:131-149

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    Web page: http://www.elsevier.com/locate/jempfin

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    1. Nickell, Pamela & Perraudin, William & Varotto, Simone, 2000. "Stability of rating transitions," Journal of Banking & Finance, Elsevier, vol. 24(1-2), pages 203-227, January.
    2. Merton, Robert C, 1974. "On the Pricing of Corporate Debt: The Risk Structure of Interest Rates," Journal of Finance, American Finance Association, vol. 29(2), pages 449-70, May.
    3. Patrick Gagliardini, 2005. "Stochastic Migration Models with Application to Corporate Risk," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 3(2), pages 188-226.
    4. Giacomo Giampieri & Mark Davis & Martin Crowder, 2005. "Analysis of default data using hidden Markov models," Quantitative Finance, Taylor & Francis Journals, vol. 5(1), pages 27-34.
    5. Siem Jan Koopman & Andr� Lucas & Robert J. Daniels, 2005. "A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk," DNB Working Papers 055, Netherlands Central Bank, Research Department.
    6. Bangia, Anil & Diebold, Francis X. & Kronimus, Andre & Schagen, Christian & Schuermann, Til, 2002. "Ratings migration and the business cycle, with application to credit portfolio stress testing," Journal of Banking & Finance, Elsevier, vol. 26(2-3), pages 445-474, March.
    7. Rosch, Daniel, 2005. "An empirical comparison of default risk forecasts from alternative credit rating philosophies," International Journal of Forecasting, Elsevier, vol. 21(1), pages 37-51.
    8. Jose A. Lopez, 2002. "The empirical relationship between average asset correlation, firm probability of default and asset size," Working Paper Series 2002-05, Federal Reserve Bank of San Francisco.
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