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Bayesian inference for generalized linear mixed models of portfolio credit risk

  • 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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    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
    Contact details of provider: Web page: http://www.elsevier.com/locate/jempfin

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    1. 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.
    2. Pamela Nickell & William Perraudin & Simone Varotto, 2001. "Stability of ratings transitions," Bank of England working papers 133, Bank of England.
    3. 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.
    4. 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.
    5. Koopman, Siem Jan & Lucas, André, 2008. "A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk," Journal of Business & Economic Statistics, American Statistical Association, vol. 26, pages 510-525.
    6. 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.
    7. Siem Jan Koopman & Andr� 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.
    8. 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.
    9. 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.
    10. 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.
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