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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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    References

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    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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    1. 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.
    2. Giacomo Giampieri & Mark Davis & Martin Crowder, 2005. "Analysis of default data using hidden Markov models," Quantitative Finance, Taylor and Francis Journals, vol. 5(1), pages 27-34.
    3. Lopez, Jose A., 2004. "The empirical relationship between average asset correlation, firm probability of default, and asset size," Journal of Financial Intermediation, Elsevier, vol. 13(2), pages 265-283, April.
    4. Merton, Robert C., 1973. "On the pricing of corporate debt: the risk structure of interest rates," Working papers 684-73., Massachusetts Institute of Technology (MIT), Sloan School of Management.
    5. 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.
    6. Nickell, Pamela & Perraudin, William & Varotto, Simone, 2000. "Stability of rating transitions," Journal of Banking & Finance, Elsevier, vol. 24(1-2), pages 203-227, January.
    7. Egloff, Daniel & Leippold, Markus & Vanini, Paolo, 2007. "A simple model of credit contagion," Journal of Banking & Finance, Elsevier, vol. 31(8), pages 2475-2492, August.
    8. Siem Jan Koopman & André Lucas & Robert Daniels, 2005. "A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk," Tinbergen Institute Discussion Papers 05-060/4, Tinbergen Institute.
    9. Anil Bangia & Francis X. Diebold & Til Schuermann, 2000. "Ratings Migration and the Business Cycle, With Application to Credit Portfolio Stress Testing," Center for Financial Institutions Working Papers 00-26, Wharton School Center for Financial Institutions, University of Pennsylvania.
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    Cited by:
    1. Koopman, Siem Jan & Lucas, Andre & Monteiro, Andre, 2008. "The multi-state latent factor intensity model for credit rating transitions," Journal of Econometrics, Elsevier, vol. 142(1), pages 399-424, January.
    2. Carlos Castro, 2012. "Confidence sets for asset correlations in portfolio credit risk," REVISTA DE ECONOMÍA DEL ROSARIO, UNIVERSIDAD DEL ROSARIO.
    3. Daniel Roesch & Harald Scheule, 2011. "Securitization Rating Performance and Agency Incentives," Working Papers 182011, Hong Kong Institute for Monetary Research.
    4. Stefan Kerbl & Michael Sigmund, 2011. "What Drives Aggregate Credit Risk?," Financial Stability Report, Oesterreichische Nationalbank (Austrian Central Bank), issue 22, pages 72-87, December.
    5. Konrad Banachewicz & André Lucas, 2007. "Quantile Forecasting for Credit Risk Management using possibly Mis-specified Hidden Markov Models," Tinbergen Institute Discussion Papers 07-046/2, Tinbergen Institute.
    6. Daniel Rosch & Harald Scheule, 2009. "The Empirical Relation between Credit Quality, Recovery, and Correlation," Working Papers 222009, Hong Kong Institute for Monetary Research.
    7. Bank for International Settlements, 2011. "Portfolio and risk management for central banks and sovereign wealth funds," BIS Papers, Bank for International Settlements, number 58, March.
    8. Rösch, Daniel & Scheule, Harald, 2009. "The Empirical Relation between Credit Quality, Recovery and Correlation," Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät der Leibniz Universität Hannover dp-418, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    9. Daniel Rösch & Harald Scheule, 2011. "Securitization rating performance and agency incentives," BIS Papers chapters, in: Bank for International Settlements (ed.), Portfolio and risk management for central banks and sovereign wealth funds, volume 58, pages 287-314 Bank for International Settlements.
    10. Chew Lian Chua & G. C. Lim & Penelope Smith, 2008. "A Bayesian Simulation Approach to Inference on a Multi-State Latent Factor Intensity Model," Melbourne Institute Working Paper Series wp2008n16, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
    11. Koopman, Siem Jan & Lucas, André & Schwaab, Bernd, 2011. "Modeling frailty-correlated defaults using many macroeconomic covariates," Journal of Econometrics, Elsevier, vol. 162(2), pages 312-325, June.
    12. Siem Jan Koopman & André Lucas & Bernd Schwaab, 2008. "Forecasting Cross-Sections of Frailty-Correlated Default," Tinbergen Institute Discussion Papers 08-029/4, Tinbergen Institute.
    13. Kadam, Ashay & Lenk, Peter, 2008. "Bayesian inference for issuer heterogeneity in credit ratings migration," Journal of Banking & Finance, Elsevier, vol. 32(10), pages 2267-2274, October.
    14. Daniel Rosch & Harald Scheule, 2008. "Credit Losses in Economic Downturns - Empirical Evidence for Hong Kong Mortgage Loans," Working Papers 152008, Hong Kong Institute for Monetary Research.
    15. Michael Kalkbrener & Akwum Onwunta, 2009. "Validating Structural Credit Portfolio Models," Working Papers 014, COMISEF.
    16. Stefanescu, Catalina & Tunaru, Radu & Turnbull, Stuart, 2009. "The credit rating process and estimation of transition probabilities: A Bayesian approach," Journal of Empirical Finance, Elsevier, vol. 16(2), pages 216-234, March.
    17. Ronald Hochreiter & David Wozabal, 2009. "A Coupled Markov Chain approach to risk analysis of credit default swap index products," Papers 0911.3802, arXiv.org.

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