IDEAS home Printed from https://ideas.repec.org/h/wsi/wschap/9789814663410_0013.html
   My bibliography  Save this book chapter

MCMC Estimation of Credit Risk Measures

In: Model Risk in Financial Markets From Financial Engineering to Risk Management

Author

Listed:
  • Radu Tunaru

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

Suggested Citation

  • Radu Tunaru, 2015. "MCMC Estimation of Credit Risk Measures," World Scientific Book Chapters, in: Model Risk in Financial Markets From Financial Engineering to Risk Management, chapter 13, pages 283-320, World Scientific Publishing Co. Pte. Ltd..
  • Handle: RePEc:wsi:wschap:9789814663410_0013
    as

    Download full text from publisher

    File URL: https://www.worldscientific.com/doi/pdf/10.1142/9789814663410_0013
    Download Restriction: Ebook Access is available upon purchase.

    File URL: https://www.worldscientific.com/doi/abs/10.1142/9789814663410_0013
    Download Restriction: Ebook Access is available upon purchase.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wsi:wschap:9789814663410_0013. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Tai Tone Lim (email available below). General contact details of provider: http://www.worldscientific.com/page/worldscibooks .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.