Industry specific defaults
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References listed on IDEAS
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More about this item
KeywordsIntensity credit risk model; Within industry default correlation; Between industries default correlation; Frailty; MCEM;
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- G33 - Financial Economics - - Corporate Finance and Governance - - - Bankruptcy; Liquidation
- C82 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Methodology for Collecting, Estimating, and Organizing Macroeconomic Data; Data Access
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