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Modeling stylized features in default rates

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Author Info
Emanuele Taufer () (DISA, Faculty of Economics, Trento University)

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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.

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File URL: http://repec.cs.unitn.it/AL/Doc/021.pdf
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Publisher Info
Paper provided by Department of Computer and Management Sciences, University of Trento, Italy in its series Alea Tech Reports with number 021.

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Length: 21 pages
Date of creation: Apr 2006
Date of revision: 14 Jun 2008
Handle: RePEc:trt:aleatr:021

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