Estimation in discontinuous Bernoulli mixture models applicable in credit rating systems with dependent data

Estimation in discontinuous Bernoulli mixture models applicable in credit rating systems with dependent data

Objective: We consider the following problem from credit risk modeling: Our sample (Xi; Yi), 1 < i < n, consists of pairs of variables. The first variable Xi measures the creditworthiness of individual i. The second variable Yi is the default indicator of individual i. It has two states: Yi...

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Bibliographic Details
Main Authors: Tillich, Daniel, Lehmann, Christoph
Other Authors: Technische Universität Dresden, Fakultät Wirtschaftswissenschaften
Format: Others
Language:deu
Published: Saechsische Landesbibliothek- Staats- und Universitaetsbibliothek Dresden 2017
Subjects:
Regression mit Sprung
Änderungspunkt
Splitpunkt
Kreditrisiko
Ratingklassifizierung
Ausfallwahrscheinlichkeit
Abhängigkeit
starke Konsistenz
regression with jump
change point
split point
credit risk
rating classi - cation
default probability
dependence
strong consistency
ddc:330
rvk:QH 400
Online Access:http://nbn-resolving.de/urn:nbn:de:bsz:14-qucosa-222582
http://nbn-resolving.de/urn:nbn:de:bsz:14-qucosa-222582
http://www.qucosa.de/fileadmin/data/qucosa/documents/22258/DBQV66_16.pdf

Internet

http://nbn-resolving.de/urn:nbn:de:bsz:14-qucosa-222582
http://nbn-resolving.de/urn:nbn:de:bsz:14-qucosa-222582
http://www.qucosa.de/fileadmin/data/qucosa/documents/22258/DBQV66_16.pdf

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