Urn-based models for dependent credit risks and their calibration through EM algorithm
AbstractIn this contribution we analyze two models for the joint probability of defaults of dependent credit risks that are based on a generalisation of Polya urn scheme. In particular we focus our attention on the problems related to the maximum likelihood estimation of the parameters involved, and to this purpose we introduce an approach based on the use of the Expectation-Maximization algorithm. We show how to implement it in this context, and then we analyze the results obtained, comparing them with results obtained by other approaches.
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Bibliographic InfoPaper provided by Department of Applied Mathematics, Università Ca' Foscari Venezia in its series Working Papers with number 163.
Length: 28 pages
Date of creation: Apr 2008
Date of revision:
Find related papers by JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C16 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Econometric and Statistical Methods; Specific Distributions
This paper has been announced in the following NEP Reports:
- NEP-ALL-2008-05-05 (All new papers)
- NEP-ECM-2008-05-05 (Econometrics)
- NEP-RMG-2008-05-05 (Risk Management)
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