Calibrating the CreditRisk<sup>+</sup> Model at Different Time Scales and in Presence of Temporal Autocorrelation <xref rid="fn1-mathematics-1268727" ref-type="fn">†</xref>
The CreditRisk<inline-formula><math xmlns="http://www.w3.org/1998/Math/MathML" display="inline"><semantics><msup><mrow></mrow><mo>+</mo></msup></semantics></math></inline-formula> model is one of the industry...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2021-07-01
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| Series: | Mathematics |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2227-7390/9/14/1679 |