Bayesian analysis of default and credit migration : latent factor models for event count and time-to-event data
This thesis develops Bayesian models to explain credit default and migration risk. Credit risk models used in practice are based on an assumption of conditionally independent events given a realization of systematic risk factors. The systematic risk can be modelled with both observed and unobserved...
| Main Author: | |
|---|---|
| Other Authors: | |
| Published: |
Heriot-Watt University
2014
|
| Subjects: | |
| Online Access: | http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.650558 |