Predicting defaults using the discrete-time competing risk hazard model with dynamic frailty
碩士 === 國立東華大學 === 應用數學系 === 103 === In this paper, the discrete-time competing risk hazard model (DCRHM) with dynamic frailty is proposed for predicting defaults of firms. A common dynamic latent factor (frailty) is imposed on DCRHM. We combine the Markov Chain Monte Carlo method with the Monte Carl...
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| Format: | Others |
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2015
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| Online Access: | http://ndltd.ncl.edu.tw/handle/87253561284354548338 |