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Modeling stylized features in default rates

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  • Emanuele Taufer

    (DISA, Faculty of Economics, Trento University)

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.

Suggested Citation

  • Emanuele Taufer, 2006. "Modeling stylized features in default rates," Alea Tech Reports 021, Department of Computer and Management Sciences, University of Trento, Italy, revised 14 Jun 2008.
    • Handle: RePEc:trt:aleatr:021
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    Cited by:

    1. Annabel Vanroose, 2014. "Factors that explain the regional expansion of microfinance institutions in Peru," Working Papers CEB 14-030, ULB -- Universite Libre de Bruxelles.
    2. Stephanie C. Schleimer & Arthur D. Shulman, 2011. "When Intra-Firm And Inter-Firm Collaborations Co-Occur: Comparing Their Impact Across New Services Versus New Product Innovations," International Journal of Innovation Management (ijim), World Scientific Publishing Co. Pte. Ltd., vol. 15(05), pages 869-898.
    3. Cevahir Uzkurt & Rachna Kumar & Halil Semih Kimzan & Hanife Sert, 2012. "THE IMPACT OF ENVIRONMENTAL UNCERTAINTY DIMENSIONS ON ORGANISATIONAL INNOVATIVENESS: AN EMPIRICAL STUDY ON SMEs," International Journal of Innovation Management (ijim), World Scientific Publishing Co. Pte. Ltd., vol. 16(02), pages 1-23.

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