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...

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Bibliographic Details
Published in:Mathematics
Main Authors: Jacopo Giacomelli, Luca Passalacqua
Format: Article
Language:English
Published: MDPI AG 2021-07-01
Subjects:
CreditRisk<sup>+</sup>
calibration
time series
default correlation
dependence structure
Online Access:https://www.mdpi.com/2227-7390/9/14/1679

Internet

https://www.mdpi.com/2227-7390/9/14/1679

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